ANALISIS KINERJA KEUANGAN, KUALITAS KREDIT, STABILITAS DANA, DAN NILAI TUKAR TERHADAP RETURN SAHAM PERBANKAN DI BEI PERIODE 2020-2024
DOI:
https://doi.org/10.35794/jmbi.v13i2.68584Abstract
Banking companies have an important role in the capital market because they reflect the stability of the financial sector as well as an indicator of national economic conditions. This study aims to analyze the effect of Return on Assets, Non-Performing Loans, Net Credit Distribution, and Exchange Rate on the Stock Return of Banking Companies Listed on the Indonesia Stock Exchange during the 2020–2024 period. The data used is annual panel data with 47 companies as the cross-section dimension and the period 2020–2024 as the time series dimension. The sampling technique uses purposive sampling with the criteria of companies that are registered and actively traded, have complete financial statements, and meet the healthy category with a Return on Assets ≥ 1.25%, so that 16 companies were obtained with a total of 80 observations of data. This study uses a quantitative approach with a panel data regression analysis method. The results of the study show that simultaneously Return on Assets, Non-Performing Loan, and Net Credit Distribution have a significant effect on the Return on Shares of banking companies. Partially, Return on Assets and Exchange Rate have a positive and significant effect on Stock Returns, while Non-Performing Loans and Net Credit Distribution have no effect on Stock Returns of banking companies. The implications of this study show that investors need to pay more attention to Return on Assets and Exchange Rate in making investment decisions because they are proven to affect Stock Returns, while banking companies are expected to improve profitability performance and maintain asset stability in order to give positive signals to the market, and researchers are further advised to add other variables and Expanding the research period so that the results obtained are more comprehensive.
References
Agustia (2021) Pengaruh Risiko Kredit, Risiko Nilai Tukar, dan Suku Bunga terhadap Return Saham dengan Profitabilitas sebagai Variabel Intervening. Jurnal Ilmu Manajemen, 6(2), pp. 1–27. https://repository.unisma.ac.id/handle/123456789/2269
Akuba et al. (2021) Analisis Pengaruh CAR, LDR, NPL, ROE, dan ROA terhadap Return Saham. Jurnal Berkala Ilmiah Efisiensi, 21(6), pp. 38–49. https://ejournal.unsrat.ac.id/index.php/jbie/article/view/38034
Badan Pusat Statistik. (2025). Pertumbuhan ekonomi Indonesia. https://www.bps.go.id
Bank Indonesia. (2021). Laporan kebijakan moneter dan nilai tukar. https://www.bi.go.id
Bank Indonesia. (2025). Proyeksi pertumbuhan ekonomi Indonesia. https://www.bi.go.id
Bodie, Z., Kane, A. & Marcus, A.J. (2022) Investments. 12th edn. New York: McGraw-Hill.
Brigham, E.F. & Ehrhardt, M.C. (2022) Financial management: Theory & practice. 16th edn. Boston: Cengage Learning.
Brigham, E.F. & Houston, J.F. (2022) Fundamentals of financial management. 15th edn. Boston: Cengage Learning.
Chen, Y. & Zhao, X. (2023) ‘Financial risk and investor behavior’, Journal of Finance Studies, 18(2), pp. 45–60.
Cornett, Marcia Millon. (2021). Financial institutions management. McGraw-Hill. https://www.mheducation.com
Damodaran, Aswath. (2022). Investment valuation. Wiley. https://www.wiley.com
Fabozzi, Frank J. (2021). Bond markets, analysis and strategies. MIT Press. https://mitpress.mit.edu
Fahmi, Irham. (2022). Manajemen investasi. Alfabeta.
Fama, E.F. (2021) ‘Efficient capital markets: A review’, Journal of Finance, 76(3), pp. 123–140.
Gitman, L.J. & Zutter, C.J. (2021) Principles of managerial finance. 15th edn. Boston: Pearson.
Hanafi, M. & Halim, A. (2021) Analisis laporan keuangan. Yogyakarta: UPP STIM YKPN.
Husnan, S. (2020) Dasar-dasar manajemen keuangan. Yogyakarta: UPP STIM YKPN.
Hull, J.C. (2021) Risk management and financial institutions. 5th edn. New Jersey: Wiley.
Jogiyanto, H.M. (2022) Teori portofolio dan analisis investasi. Yogyakarta: BPFE UGM.
Koch, T.W. (2020) Bank management. 9th edn. Boston: Cengage Learning.
Krugman, P. (2021) International economics. 11th edn. New York: Pearson.
Kurniawan et al. (2021) Analisis Pengaruh Rasio Keuangan terhadap Return Saham. Jurnal Indikator, 2(3), pp. 89–101. https://www.neliti.com/publications/353544/analisis-pengaruh-rasio-keuangan-terhadap-return-saham-perbankan-periode-2013-20
Li, Y., Zhang, X. & Wang, L. (2022) ‘Financial reporting and market reaction’, International Journal of Accounting, 29(4), pp. 210–225.
Mandagi et al. (2024) The Influences of Credit Risk and Liquidity Risk on Stock Returns with Profitability as an Intervening Variable in Banking Companies Listed on IDX. American Journal of Public Diplomacy and International Studies, 2(1), pp. 119–130. https://grnjournal.us/index.php/AJPDIS/article/view/2707
Mankiw, N. Gregory. (2020). Macroeconomics. Worth Publishers. https://www.macmillanlearning.com
Mojambo, G. A., Tulung, J. E., & Saerang, R. T. (2020). The Influence of Top Management Team (TMT) Characteristics Toward Indonesian Banks Financial Performance During the Digital Era (2014-2018). JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi)., 7(1).
Mishkin, F.S. (2022) The economics of money, banking and financial markets. 13th edn. Boston: Pearson.
Otoritas Jasa Keuangan. (2025). Laporan/Publikasi sektor jasa keuangan Indonesia. https://www.ojk.go.id
Pitoy, R. R., Saerang, I. S., & Tulung, J. E. (2022). Reaksi Pasar Modal Terhadap Disahkannya RUU Cipta Kerja Menjadi Undang-Undang Pada Emiten Perbankan. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi)., 9(1)
Ross, S.A., Westerfield, R.W. & Jaffe, J. (2021) Corporate finance. 13th edn. New York: McGraw-Hill.
Samsul, M. (2020) Pasar modal dan manajemen portofolio. Jakarta: Erlangga.
Saunders, A. (2021) Financial institutions management. 9th edn. New York: McGraw-Hill.
Sugiyono (2024) Metode penelitian kuantitatif. Bandung: Alfabeta.
Tandelilin, E. (2021) Portofolio dan investasi. Yogyakarta: Kanisius.
Tulung, J., & Ramdani, D. (2024). Political Connection and BPD Performance. International Research Journal of Business Studies, 16(3), 289-298. doi:http://dx.doi.org/10.21632/irjbs.16.3.289-298.
Widarjono, A. (2023) Ekonometrika pengantar dan aplikasinya. Yogyakarta: UPP STIM YKPN.
Wooldridge, J.M. (2020) Introductory econometrics: A modern approach. 7th edn. Boston: Cengage Learning.
Zhang, X., Liu, Y. & Chen, H. (2024) ‘Market reaction and financial signaling’, Journal of Financial Markets, 40(1), pp. 88–105.
