Pengaruh Risiko Pasar dan Risiko Likuiditas terhadap Return Saham IDX30 di Bursa Efek Indonesia

This study aims to analyze the effect of market risk and liquidity risk on stock returns in companies listed on the IDX30 index on the Indonesia Stock Exchange during the 2020–2024 period. The independent variables in this study are market risk, proxied by stock beta, and liquidity risk, proxied by the turnover ratio, while the dependent variable is stock returns. This study uses a causal quantitative approach with secondary data obtained from financial statements, stock price data, and stock trading volume. The research sample was determined using a purposive sampling technique and obtained 150 observational data. The analytical method used is multiple linear regression analysis with the help of SPSS. Prior to conducting the regression analysis, classical assumption tests were conducted, including normality, multicollinearity, heteroscedasticity, and autocorrelation tests to ensure model feasibility. The results show that market risk partially has a positive and significant effect on stock returns, while liquidity risk has no significant effect on stock returns. Simultaneously, market risk and liquidity risk have a significant effect on stock returns. The coefficient of determination indicates that the independent variables' ability to explain stock returns is relatively small, suggesting that other factors outside the model may still influence stock returns. Based on the study's findings, it is recommended that future researchers add other variables, such as macroeconomic factors and company performance, to provide more comprehensive results.