ABSTRACT
The objective of this research was to analyze the systemic risk of banking in Indonesia based on the Pearson correlation of stock returns. The analysis used weekly stock price data for banking companies from October 2019 to June 2021. Additionally, the research applied the Fama-French Three-Factor Model (FF3F) to confirm whether the correlation was caused by systematic or idiosyncratic risk. The results showed that the average and median Pearson correlation increased, specifically in 2021. Furthermore, the FF3F regression results indicated that the increase in correlation was caused by an increase in the systematic risk (beta coefficient).
