Analisis Faktor-Faktor yang Mempengaruhi Return Saham pada Perusahaan Perbankan yang Terdaftar di Bursa Efek Indonesia

ABSTRAK
ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN
SAHAM PADA PERUSAHAAN PERBANKAN YANG
TERDAFTAR DI BURSA EFEK INDONESIA

Penelitian ini bertujuan untuk menguji pengaruh Capital Adequacy Ratio
(CAR), Non Performing Loan (NPL), Net Profit Margin (NPM), Net Interest
Margin (NIM) dan Loan to Deposit Ratio (LDR) terhadap Return Saham pada
perusahaan perbankan yang terdaftar di Bursa Efek Indonesia periode 2012-2014.
Populasi dalam penelitian ini berjumlah 42 bank dan diperoleh sampel sebanyak
29 bank. Data diperoleh melalui website Bursa Efek Indonesia yaitu
www.idx.co.id dan data dalam penelitian ini menggunakan data panel yang
merupakan gabungan antara time series dengan cross section. Teknik analisis data
menggunakan analisis regresi berganda data panel (random effect model). Dengan
menggunakan alat analisis Eviews 7. Hasil penelitian ini secara parsial
menunjukkan bahwa Capital Adequacy Ratio (CAR) dan Net Profit Margin
(NPM) berpengaruh positif dan signifikan terhadap Return Saham. Non
Performing Loan (NPL),Net Interest Margin (NIM) dan Loan to Deposit Ratio
(LDR) berpengaruh positif tidak signifikan terhadap Return Saham.
Kata Kunci: Capital Adequacy Ratio (CAR), Non Performing Loan (NPL), Net
Profit Margin (NPM), Net Interest Margin (NIM), Loan to Deposit

Ratio (LDR) dan Return Saham.

i
Universitas Sumatera Utara

ABSTRACT
ANALYSIS OF FACTORS AFFECTING STOCK RETURN ON BANKING
INDUSTRY LISTED IN INDONESIA STOCK EXCHANGE
The purpose of this research is to analyze the effect of Capital Adequacy
Ratio (CAR), Non Performing Loan (NPL), Net Profit Margin (NPM), Net
Interest Margin (NIM) dan Loan to Deposit Ratio (LDR) to Stock Return on
banking industry listed in Indonesia Stock Exchange. The population in this study
amounted 42 banks and obtained a sampel of 29 banks. Data obtained through the
website of Indonesia Stock Exchange is www.idx.co.id and data in this study
using panel data which is a combination of time series with cross section. Data
were analyzed using panel data regression analysis (random effects model). By
using analytical tools Eviews 7. Results of this study showed that partially Capital
Adequacy Ratio (CAR) and the Net Profit Margin (NPM) positive and significant
impact on Stock Return. Non Performing Loan (NPL), Net Interest Margin (NIM)
and the Loan to Deposit Ratio (LDR) is not significant positive effect on Stock

Return
Kata Kunci: Capital Adequacy Ratio (CAR), Non Performing Loan (NPL), Net
Profit Margin (NPM), Net Interest Margin (NIM), Loan to Deposit
Ratio (LDR) dan Stock Return

ii
Universitas Sumatera Utara