Pengaruh risiko kredit, risiko likuiditas dan risiko efisiensiterhadap imbal hasil portofolio saham bank di bursa efek Indonesia

Abdussalam, Aldi Ermawan (2018) Pengaruh risiko kredit, risiko likuiditas dan risiko efisiensiterhadap imbal hasil portofolio saham bank di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This thesis investigates the existence of anomaly size-effect on commercial banks’ stocks listed in Indonesia Stock Exchange (IDX) while also analyzing the influence of credit risk, proxied by NPL (Non-Performing Loan), liquidity risk proxied by LDR (Loan to Deposit Ratio) and efficiency risk proxied by OEIE (Operating Expense to Income Expense). The data used in this research is companies which has been listed in Indonesia Stock Exchange (IDX) in Indonesia financial which released a report in consecutive from year 2006-2014, the data used represents pane data, data is collected from the Indonesia Capital Markets Institute, Indonesian Capital Markets Directory, and website Indonesia Stock Exchange website Indonesia Stock Exchange (www.idx.co.id) and website Bank Indonesia www.bi.go.id Based on the research anomaly size-effect does not exist on commercial banks stocks listed on Indonesia Stock Exchange. The thesis concludes that credit Risk, proxied by NPL, has no significant impact on return of Commercial Banks stocks. However, liquidity risk proxied by LDR dan efficiency risk proxied OEIE have significant impact to the return of Commercial Banks stocks. The result can be used by investors to deliberate these ratios when investing on stocks of Commercial Banks. / Tesis ini meneliti keberadaan anomali ukuran pada saham bank-bank komersial yang tercatat di Bursa Efek Indonesia sekaligus menganalisa pengaruh risiko kredit yang diproksi oleh nilai NPL (Non-Performing Loan), risiko likuiditas yang diproksi oleh nilai LDR (Loan to Deposit Ratio), dan risiko efisiensi yang diproksi oleh BOPO (Biaya Operasional terhadap Pendapatan Operasional) terhadap imbal hasilnya. Penilitian menggunakan data seluruh perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) yang menyediakan laporan keuangan secara berturut turut dari tahun 2006-2015, data yang digunakan merupakan data panel, data diperoleh dari The Indonesia Capital Market Institute, Indonesian Capital Market Directory, website Indonesia Stock Exchange (www.idx.co.id) dan website Bank Indonesia www.bi.go.id Dari hasil penelitian diperoleh hasil bahwa tidak adanya anomali ukuran rasio pada bankbank komersial yang tercatat di Bursa Efek Indonesia. Pengaruh risiko kredit yang diproksi oleh nilai NPL tidak mempunyai pengaruh yang signifikan terhadap imbal hasil. Sedangkan risiko kredit yang diproksi oleh nilai LDR dan risiko efisiensi yang diproksi oleh nila BOPO berpengaruh secara signifikan terhadap imbal hasil dari saham bank-bank komersial yang tercatat di Bursa Efek Indonesia. Hasil ini dapat dijadikan referensi bagi para investor di Indonesia untuk memperhatikan rasio-rasio ini untuk dalam berinvestasi saham bank-bank komersial.

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