Analisis Komparasi Pengaruh Risiko Sistematis, Risiko Idiosinkratik, dan Sentimen Investor Terhadap Return Saham pada Perusahaan Perbankan yang Terdaftar di Bursa Efek Indonesia dan Bursa Malaysia

Abstract

Stock return is a key indicator reflecting investment perfomance and serves as a primary consideration for investors in making decisions in the capital market, where the banking sector plays a strategic role in driving economic growth in both Indonesia and Malaysia. This study aims to analyze the influence of systematic risk, idiosyncratic risk, and investor sentiment on banking stock returns in the Indonesia Stock Exchange (IDX) and Bursa Malaysia. The study use a quantitative approach with explanatory research and a comparative methode, involving 21 companies from IDX and 7 companies from Bursa Malaysia over the period of 2020-2023. Using panel data analysis with EViews software, the results show that in IDX, systematic risk has a significant negative effect on stock returns by 10.74% (p-value 0.001), idiosyncratic risk has a highly significant positive effect by 594.00% (p-value 0.000), while investor sentiment does not have a significant effect (p-value 0.331). In Bursa Malaysia, systematic risk also has a significant negative effect by 14.11% (p-value 0.0028), idiosyncatic risk has a significant negative effect by 116.065% (p-value 0.0803), and investor sentiment has a significant positive effect by 0.57% (p-value 0.0001). The model explains 59.41% of the variation in stock returns in IDX and 20.63% in Bursa Malaysia. The comparative analysis reveals no significant difference in systematic risk between the two exchanges and consistent findings in the combined data. However, there are significant differences in idiosyncratic risk and investor sentiment, with Bursa Malaysia results not aligning with those of IDX and the combined data.