The Impact of Stock Liquidity, Market Value-Added, and Expected Return on Idiosyncratic Risk on SRI-KEHATI Index Stocks in The Indonesian Capital Market

Abstract

This study aims to determine whether there is an effect of Stock Liquidity, Market Value Added,
and Expected Return on Idiosyncratic Risk (non-systematic risk) in companies listed on the
SRI-KEHATI Index in the Indonesian capital market. This type of research is quantitative. The
data used is secondary data. The sample data obtained were 50 research data from 10
companies over a five-year period which was on the 2018-2022 SRI-KEHATI Index. The used
methodology for data analysis is multiple linear regression analysis. The results of this study
explain that the Market Value Added (MVA) variable supports idiosyncratic risk positively, the
Stock Liquidity (LS) variable supports negatively towards idiosyncratic risk, and it can be
concluded that the variable Expected Return does not support the variable Idiosyncratic Risk.