| International diversification should reduce investors' systematic risk. However, recent research found that when a firm based in an integrated market expands to a segmented market, it will increase their systematic risk, while the reverse is true for a firm based in a segmented market This paper addresses the difference between the systematic risk of multinational enterprises (MNEs) and domestic Firms (DFs) in Indonesia in which the capital market is segmented and in Australia where the capital market Is integrated. The results show that the systematic risk of the Indonesian MNE, i.e. PT. Aneka Tambang, Tbk. is lower than that of PT Tambang Batu Bara Bukit Asam, its domestic counterpart, while Rio Tinto. Ltd. and Postman, Ltd. in Australia make use of two different indexes that bring about two different results. |