Influence of Fundamental Ratio, Market Ratio and Business Performance to The Systematic Risk and Their Impacts to The Return on Shares at The Agricultural Sector Companies at The Indonesia Stock Exchange for The Period of 2010 -2013

Stock market is a market for various kinds of long term financial instruments able to be put into a sale-purchase transaction. Stock market has a big role for economy of a country, since it functions to improve efficiency in economy by means of connecting the funds from non-productive parties to the productive ones. In line with investment made by investors related to the return, it also faces the systematic risk that has to be taken. This research is intended to know how big the influences of fundamental ratio, market ratio and business performance to the systematic risks and their impacts to the return on shares at the agricultural companies available at the Indonesia Stock Exchange. Location of this research is chosen under a purposive sampling technique. Data in this research are collected by using the method of documentation study, namely studying the reports and documents of companies in agricultural sectors with the sources deriving from Financial Statements of companies listed art the Indonesia Stock Exchange for the period 2010-2013. Data is analyzed by using SEM ? Structural Equation Modeling processed through the Smart PLS software of 2.0 Version. Output of this study indicates that the fundamental ratio and the market ratio do not have significant influence to the systematic risks, but on the contrary the business performance has significant influence. Further, fundamental ratio, market ratio and business performance do not have significant influence as well to the return on shares, and only the systematic risk has significant influence to the return on shares. The aforesaid condition is also strongly influenced by external factors in the form of price of CPO (Crude Palm Oil), inflation, SBI (Certificate of Bank Indonesia), exchange rate of Rupiah to USD as well as the macroeconomic condition undergoing the crisis. Thus, investors wishing to make investment should pay more attention to the level of systematic risks at the sector of agricultural business listed at this Indonesia Stock Exchange, since it will be able to predict the amount of return to be received in the future by calculating the existing external factors.