| Summary: | This study aims to examine the effect of macro and micro economic factors on stock returns of banking sector. Specifically, this study wanted to test the effect of capital adequacy ratio (CAR), ratio of operating expense to operating income (BOPO), loan-to-deposit ratio (LDR), non-performing loans (NPL), earnings per share (EPS), net interest margin (NIM ), inflation (INF), and interest rates (INT) of the banking sector stock return. This factors can influence interests of investors in investing on stock market. This study uses multiple regression analysis with stock returns as the dependent variable and capital adequacy ratio (CAR), ratio of operating expense to operating income (BOPO), loan-to-deposit ratio (LDR), non-performing loans (NPL), earnings per share (EPS ), net interest margin (NIM), inflation (INF), and interest rates (INT) as independent variables. The period that was used was 2009 until 2011 with 25 banks as the samples. These study samples were collected by purposive sampling method.
The results of this study show that there was significantly positive influence between variable CAR, LDR, and EPS on stock returns, while the NPL and BOPO variables significantly negative effect on stock returns. However, BOPO has a weak effect on stock returns. INF, INT and NIM insignificantly effect stock returns. In addition, there is a simultaneous effect between CAR, BOPO, LDR, NPL, EPS, NIM, INF, and INT on stock returns.
|
|---|