Pengaruh Faktor Ekonomi Makro dan Mikro Pada Return Saham Sektor Perbankan Yang Terdaftar Di Bursa Efek Indonesia Periode 2009-2011
WIBOWO, MARISA (Adv.: Marwan Asri, Prof., M.B.A., Ph.D.), Marwan Asri, Prof., M.B.A., Ph.D.
Penelitian ini betujuan untuk menguji pengaruh faktor-faktor ekonomi makro dan mikro pada return saham sektor perbankan. Khususnya, penelitian ini ingin menguji pengaruh rasio capital adequacy ratio (CAR), biaya operasional terhadap pendapatan nasional (BOPO), loan to deposit ratio (LDR), non performing loans (NPL), earnings per share (EPS), net interest margin (NIM), inflasi (INF), dan suku bunga (INT) terhadap return saham sektor perbankan. Faktor inilah yang mempengaruhi minat investor dalam berinvestasi di pasar modal.
Penelitian ini menggunakan analisis regresi linier berganda dengan return saham sebagai variabel terikat dan capital adequacy ratio (CAR), biaya operasional terhadap pendapatan nasional (BOPO), loan to deposit ratio (LDR), non performing loans (NPL), earnings per share (EPS), net interest margin (NIM), inflasi (INF), dan suku bunga (INT) sebagai variabel bebas. Periode yang digunakan adalah tahun 2009 sampai dengan tahun 2011 dengan 25 bank dijadikan sampel penelitian. Metode purposive sampling digunakan untuk pengambilan sampel.
Hasil dari penelitian ini menunjukkan bahwa terdapat pengaruh positif signifikan antara variabel CAR, LDR, dan EPS pada return saham, sedangkan variabel NPL dan BOPO berpengaruh negatif signifikan pada return saham. Namun, variabel BOPO memiliki pengaruh yang relatif lemah terhadap return saham. Variabel NIM, INF, dan INT tidak memiliki pengaruh pada return saham. Selain itu, terdapat pengaruh secara simultan antara CAR, BOPO, LDR, NPL, EPS, NIM, INF, dan INT terhadap return saham.
This study aims to examine the effect of macro and micro economic factors on stock returns of banking sector. Specifically, this study wanted to test the effect of capital adequacy ratio (CAR), ratio of operating expense to operating income (BOPO), loan-to-deposit ratio (LDR), non-performing loans (NPL), earnings per share (EPS), net interest margin (NIM ), inflation (INF), and interest rates (INT) of the banking sector stock return. This factors can influence interests of investors in investing on stock market. This study uses multiple regression analysis with stock returns as the dependent variable and capital adequacy ratio (CAR), ratio of operating expense to operating income (BOPO), loan-to-deposit ratio (LDR), non-performing loans (NPL), earnings per share (EPS ), net interest margin (NIM), inflation (INF), and interest rates (INT) as independent variables. The period that was used was 2009 until 2011 with 25 banks as the samples. These study samples were collected by purposive sampling method.
The results of this study show that there was significantly positive influence between variable CAR, LDR, and EPS on stock returns, while the NPL and BOPO variables significantly negative effect on stock returns. However, BOPO has a weak effect on stock returns. INF, INT and NIM insignificantly effect stock returns. In addition, there is a simultaneous effect between CAR, BOPO, LDR, NPL, EPS, NIM, INF, and INT on stock returns.
Kata Kunci : Stock return, capital adequacy ratio (CAR), biaya operasional terhadap pendapatan nasional (BOPO), loan to deposit ratio (LDR), non performing loans (NPL), earnings per share (EPS), net interest margin (NIM), inflasi (INF), dan suku bunga (INT), Perbankan
