REVEALING THE ROLE OF SYSTEMATIC AND NON-SYSTEMATIC RISK IN ENHANCING OPTIMAL PORTFOLIO RETURNS IN GLOBAL STOCK MARKETS

Authors

  • Ahmad Sidiq
  • Suprihati Suprihati Program Studi Perpajakan, STIE AAS Surakarta, Indonesia
  • Darmanto Darmanto

DOI:

https://doi.org/10.29040/ijebar.v8i4.16586

Abstract

This study analyzes the effects of systematic and unsystematic risks on the optimal portfolio return in Global Stock Indices during the 2016–2023 period using the Single-Index Model. The findings reveal that systematic risk, measured by stock beta, has a significant and positive influence on expected return (regression coefficient = 0.37; t-statistic = 8.018; p-value < 0.05), explaining 65% of the portfolio return variance. Conversely, unsystematic risk is statistically insignificant (regression coefficient = 0.37; t-statistic = 5.546; p-value > 0.05) due to its reduction through diversification. The constructed optimal portfolio yields an expected return of 12.5% with an 8.3% risk level. These results align with Modern Portfolio Theory and the Capital Asset Pricing Model (CAPM), emphasizing the importance of systematic risk management and diversification in optimizing portfolio performance. These findings provide actionable insights for investors to design investment strategies tailored to their risk tolerance.

Keywords: Expected Return, Systematic Risk, Unsystematic Risk, Optimal Portfolio

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Published

2024-12-29

How to Cite

Sidiq, A., Suprihati, S., & Darmanto, D. (2024). REVEALING THE ROLE OF SYSTEMATIC AND NON-SYSTEMATIC RISK IN ENHANCING OPTIMAL PORTFOLIO RETURNS IN GLOBAL STOCK MARKETS. International Journal of Economics, Business and Accounting Research (IJEBAR), 8(4). https://doi.org/10.29040/ijebar.v8i4.16586

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