KINERJA KEUANGAN DAN EFISIENSI TERHADAP RETURN SAHAM PERBANKAN DI BURSA EFEK INDONESIA PERIODE 2007-2011

Abstract

This research analysis of the factors that affect stock returns of banks listed on the Indonesia Stock Exchange during the period 2007-2011. This study applies panel data regression model to measure the effect of the two groups of independent variables of financial performance, and efficiency of the bank. The financial performance variables consisted of capital adequacy ratio (CAR), non-performing loans (NPL), return on equity (ROE), loans deposit ratio (LDR) and a net interest margin (NIM), while the variable banks efficiency, are operating expenses and operating income (BOPO), and Data Envelopment Analysis (DEA) of the bank stock returns. The empirical results showed variable CAR, NPL, ROE, LDR, and NIM as an indicator of financial performance affects bank stock returns are negative and significant. While variable ROA ratio as an indicator of the efficiency of banks affect bank stock returns are negative and significant. Variable of DEA as an indicator of the efficiency of banks, affects bank stock returns positively and significantly. Financial variables are proxied by the ratio of CAR, NPL, ROE, NIM, and LDR, and bank efficiency variable proxied by ROA ratios and DEA methods significantly affect jointly return of bank stocks listed on the Indonesia Stock Exchange. These empirical findings are partly consistent with the hypothesis of the study, while t different with the hypothesis of the study