The determinants of systematic risk: Case of developers' companies in Malaysia / Hanis Shahirah Mokhtar Kamil

This thesis studies the relationship between financial variables and systematic risk. There are five (5) financial variables which have been chosen as determinants of systematic risk from the perspective of developer's companies in Malaysia which is liquidity, leverage, operating efficiency, profitability and dividend pay-out ratio. The key question in this research is which determinant is the most influence the systematic risk. For this research, diagnostics test which is Multicollinearity test and Normality test have been used to answer the key question. In conclusion, the findings of the ten developers' companies in Malaysia that are public listed in the Bursa Malaysia show that liquidity, operating efficiency and dividend pay-out are negatively related towards systematic risk whereas profitability and leverage are positively related towards the systematic risk (beta). The results of significant association for the financial variables are similar with some of the previous studies and some of them is not. The findings provide opportunities for investors and financial policy makers to maximise the returns. Moreover, this study will be conducted by using panel data methods and comparing between regression model in order to choose the best model estimation in the panel data method.