Pengaruh Size and Growth, Loan Exposure, Capital Adequacy, Assets Quality, dan Earnings Terhadap Kinerja Perbankan di Bursa Efek Indonesia (Studi Empiris Periode 2003-2007)
FAHMI, ANDITA ZHENA , Dr. Indra Bastian, MBA
Tujuan dari penelitian ini adalah mengetahui bagaimana kondisi kinerja perbankan di Bursa Efek Indonesia dan mengidentifikasi pengaruh variabel-variabel fundamental terhadap kinerja perbankan. Penelitian ini menggunakan sebelas variabel fundamental yang dikategorikan dalam lima kelompok yaitu size and growth, loan exposure, capital adequacy, assets quality, dan earnings (liquidity). Sedangkan market returns dan future earnings digunakan sebagai benchmarking untuk mengukur kinerja perbankan. Penelitian ini menggunakan data sekunder berupa laporan keuangan tahunan dari 20 perusahaan perbankan di Bursa Efek Indonesia selama periode lima tahun yaitu 2003-2007. Pengumpulan data menggunakan teknik purposive sampling. Metode analisis data yang digunakan adalah analisis data panel dengan menggunakan pooled least square dan random effect model yang diolah dengan software Gretl 1.8.0.
Hasil penelitian menunjukkan tujuh dari sebelas variabel fundamental yang digunakan berpengaruh terhadap markets return dan atau future earnings pada level signifikansi 1% maupun 5%. Sedangkan empat variabel yaitu total assets, assets % change, yield on earnings, and return on equity tidak berpengaruh terhadap keduanya. Variabel-variabel dari kelompok loan exposure merupakan variabel yang paling signifikan berpengaruh terhadap markets return dan future earnings. Hasil penelitian ini menunjukkan bahwa variabel fundamental dapat digunakan dalam evaluasi kinerja perbankan.
This research paper was carried out to know the condition of banks performance in Indonesian Stock Exchange and identify the influence of fundamental variables to banks performance. We examine the incremental value relevance of eleven fundamental variables that categorized into five groups. They were size and growth, loan exposure, capital adequacy, assets quality, and earnings. While market returns and future earnings may serve as a benchmark to measure banks performance. The data for the research work is secondary and was collected from the annual reports of twenty commercial banks in Indonesian Stock Exchange over a period of five years (2003-2007). The purposive sampling technique was used. The presentation of data was in tables and analyzed using regression of panel data with pooled least square and random effect method via Gretl 1.8.0 software.
Our results show that seven of the eleven variables assist in explaining either returns or future earnings. The variables was significant at the 0.01 or 0.05 level. Only four of the eleven variables did not provide any explanatory information in either instance (total assets, assets % change, yield on earnings, and return on equity). Measures of loan exposure may provide the greatest insight in explaining market returns and future earnings, while measures of capital adequacy, asset quality, and earnings provide some information content. These findings indicate that financial statement variables play a significant role in the evaluation of banks performance.
Kata Kunci : size and growth, loan exposure, capital adequacy, assets quality, earnings, kinerja perbankan
