Pengaruh distance to default pada bank terhadap stock return pada perusahaan nonkeuangan

Harpindo, Haris (2020) Pengaruh distance to default pada bank terhadap stock return pada perusahaan nonkeuangan. Masters thesis, Universitas Pelita Harapan.

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Abstract

Pada saat situasi krisis ekonomi terjadi di sebuah negara, kita dapat melihat fenomena bagaimana keadaan keuangan perusahaan pada sektor perbankan memburuk dan kemudian dapat berdampak kepada kinerja dari sektor-sektor ekonomi lainnya. Penelitian ini bertujuan untuk menguji bagaimana pengaruh risiko kebangkrutan bank yang ditunjukkan oleh nilai Distance to Default Bank terhadap Stock Return pada perusahaan non-keuangan. Untuk mendapatkan nilai Distance to Default penelitian ini menggunakan model Merton (1974). Bahan observasi pada penelitian ini terdiri dari 27 bank terbuka dan 27 perusahaan dari industri non keuangan. Penelitian ini adalah penelitian kuantitatif korelasi dan regresi data panel. Hasil penelitian menunjukkan bahwa Distance to Default berpengaruh terhadap performa saham perusahaan non keuangan. Sehingga Distance to Default bisa digunakan sebagai acuan dalam melakukan forcasting terkait dengan potensi return portofolio perusahaan non keuangan, terutama untuk industri yang menggunakan bank sebagai sumber utama mereka dalam memperoleh modal seperti, Perkebunan, Industri Textil, Properti dan lain lain. Penelitian ini menitikberatkan kepada risiko kebangkrutan bank. Oleh karena itu, diharapkan peneliti selanjutnya melakukan penelitian terhadap risiko lainya. Sehingga penelitian selanjutnya dapat menentukan risiko manakah yang paling kuat pengaruhnya terhadap return saham. / In the economic crisis situation occurs in a country, we can see the phenomenon of how the financial situation companies in the banking sector deteriorates and affected the stock performance of other economic sectors. This study aims to examine how the influence of bankruptcy risk on banks shown by the value of Distance to Default Bank on Stock Return in nonfinancial companies. To get the Distance to Default this reserch uses the Merton model (1974). The observation material in this reserch consisted of 27 listed banks and 27 companies from listed non-financial industries. This research is a quantitative correlation study and panel data regression. The results showed that Distance to Default affected the performance of non-financial company Stock. Based on that fact, we can conclude that the Distance to Default can be used as a reference to forcasting the potential return of non-financial company portfolios, especially for industries that rely on banks as their main source in obtaining capital such as, Plantation, Textile Industry, Property and others. This research focuses on the risk of bankruptcy. Therefore, the next researchers are expected to further conduct research on other risks. So that further research can determine which risks have the strongest effect on stock returns.

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