My home theater speakers pick up the radio in the background, are there ways of preventing this?

When the speakers are on, you can hear the radio, but its not connected to any radio reciever, just the DVD player and the subwoofer, this is a Coby home theater system, with dvd player, a sub and two speakers. It works well, just has the radio background which is annoying. I've looked for answers but cannot find anything exactly with what I need. Can anybody help me?

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