DETERMINAN RETURN SAHAM PERBANKAN: STUDI EMPIRIS PERAN DARI LOAN TO DEPOSIT RATIO, RETURN ON EQUITY, EARNINGS PER SHARE, DAN BI 7-DAY REVERSE REPO RATE DENGAN FIRM SIZE SEBAGAI VARIABEL KONTROL

KAUTSAR NAUFA HAYKAL, . (2026) DETERMINAN RETURN SAHAM PERBANKAN: STUDI EMPIRIS PERAN DARI LOAN TO DEPOSIT RATIO, RETURN ON EQUITY, EARNINGS PER SHARE, DAN BI 7-DAY REVERSE REPO RATE DENGAN FIRM SIZE SEBAGAI VARIABEL KONTROL. Sarjana thesis, UNVERSITAS NEGERI JAKARTA.

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Abstract

Penelitian ini bertujuan untuk menganalisis pengaruh variabel fundamental internal dan faktor makroekonomi terhadap return saham perbankan yang terdaftar di Bursa Efek Indonesia (BEI) periode Q1 2022–Q4 2024. Penelitian ini menggunakan Signaling Theory, Efficient Market Hypothesis, dan Capital Asset Pricing Model sebagai kerangka teoretis untuk menjelaskan respons pasar terhadap sinyal keuangan dan kebijakan moneter. Variabel independen yang diuji meliputi Loan to Deposit Ratio (LDR), Return on Equity (ROE), Earnings per Share (EPS), dan BI 7-Day Reverse Repo Rate (BI7DRR), dengan Firm Size sebagai variabel kontrol. Melalui metode purposive sampling, diperoleh sampel 17 bank (168 observasi) dengan metode analisis regresi data panel (Common Effect Model). Hasil penelitian menunjukkan ROE berpengaruh positif dan signifikan terhadap return saham, sedangkan EPS berpengaruh negatif dan signifikan. LDR dan BI7DRR tidak berpengaruh signifikan. Firm Size sebagai variabel kontrol terbukti berpengaruh positif dan signifikan, mengindikasikan bahwa investor perbankan di Indonesia lebih merespons sinyal profitabilitas dan skala aset perusahaan daripada kebijakan moneter dalam periode ini. ***** This study aims to analyze the influence of internal fundamental variables and macroeconomic factors on banking stock returns listed on the Indonesia Stock Exchange (IDX) for the period Q1 2022–Q4 2024. This research employs Signaling Theory, the Efficient Market Hypothesis, and Capital Asset Pricing Model as the theoretical framework to explain market responses to financial signals and monetary policy. Independent variables include the Loan to Deposit Ratio (LDR), Return on Equity (ROE), Earnings per Share (EPS), and the BI 7-Day Reverse Repo Rate (BI7DRR), with Firm Size as a control variable. Using purposive sampling, 17 banks were selected (168 observations), analyzed via panel data regression (Common Effect Model). The results show that ROE has a positive and significant effect on stock returns, while EPS has a negative and significant effect. LDR and BI7DRR show no significant effect. Firm Size as a control variable has a positive and significant effect, indicating that banking investors in Indonesia respond more to profitability signals and company asset scale than to monetary policy during this period.

Item Type:	Thesis (Sarjana)
Additional Information:	1). Prof. Dr. Umi Widyastuti, S.E., M.E. ; 2). Puji Yuniarti, S.E., M.M.
Subjects:	Manajemen > Manajemen , Business
Divisions:	FE > S1 Manajemen
Depositing User:	Kautsar Naufa Haykal .
Date Deposited:	23 Jul 2026 03:41
Last Modified:	23 Jul 2026 03:41
URI:	http://repository.unj.ac.id/id/eprint/66963

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