PENGARUH KINERJA KEUANGAN TERHADAP KINERJA PASAR SAHAM PERBANKAN INDONESIA
DOI:
https://doi.org/10.35794/7hxz0b31Abstract
This study aims to analyze the effect of financial performance, measured through the CAMELS framework, on the stock market performance of commercial banks listed on the Indonesia Stock Exchange (IDX) during the 2021–2025 period. The independent variables examined are the Capital Adequacy Ratio (CAR), Net Non-Performing Assets (NNPA), Return on Assets (ROA), Net Interest Margin (NIM), and Liquid Asset to Total Asset (LATA), with the natural logarithm of total assets (LNTA) included as a firm-size control variable, while market performance is proxied by Share Price Growth (SPG). The research uses panel data from 42 banks over five years (210 observations) selected through purposive sampling, analyzed using a Fixed Effects Model with robust standard errors based on the Chow test and AIC/BIC criteria. The empirical results show that NIM has a significant negative effect on share price growth at the 5% level, while LNTA is marginally significant at the 10% level. CAR, NNPA, ROA, and LATA have no significant effect on share price growth. Simultaneously, all variables significantly influence share price growth, with a Within R-squared of 31.77%. These findings indicate that higher interest margins and larger bank size tend to be associated with lower stock returns, supporting the size-discount phenomenon and a shift in investor preference toward income diversification in the digital banking era. Future research is suggested to extend the observation period, broaden the bank segments, and incorporate macroeconomic variables.
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