Without argument, the SYSTEM command will create a subshell, using the user's default shell (sh, csh, ksh, etc...). Control will return to the calling program once the subshell terminates (i.e. using the 'exit' or 'bye' or 'logout' command).
With an argument, the SYSTEM command will execute the corresponding Unix command in a subshell.
Note that because subshells are used, you cannot change environment variables in this way. In particular, to change your working directory use the SIC DIRECTORY command.