Iskandar, Yusuf and Prof. Dr. Moeljadi, and Dr. Sumiati, and Dr. Djumahir, (2022) Pengaruh Makro Ekonomi, Non Performing Loan, Dan Loan Deposit Ratio Terhadap Return Saham Dimediasi Profitabilitas Dan Dimoderasi Ukuran Perusahaan (Studi Pada Bank Umum Yang Listing Di Bursa Efek Indonesia). Doktor thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk menguji dan membuktikan secara empiris: (1) Apakah return saham pada bank umum yang listing di bursa efek Indonesia secara langsung dipengaruhi oleh makro ekonomi dengan indikator nilai tukar, suku bunga, dan inflasi. (2) Apakah return saham pada bank umum yang listing di bursa efek Indonesia dipengaruhi oleh non performing loan dan loan deposit ratio secara langsung maupun tidak langsung melalui profitabilitas.(3) Apakah ukuran perusahan pada bank umum yang listing di bursa efek Indonesia secara langsung memoderasi profitabilitas terhadap return saham. Secara teoritis hasil penelitian ini diharapkan dapat mendukung theory of the firm dan signaling theory, sehingga dapat bermanfaat bagi akademisi dan praktisi. Populasi penelitian adalah bank umum yang listing di bursa efek Indonesia dengan target populasi sebanyak 43 bank. Target populasi dalam penelitian dengan menyajikan laporan keuangan yang telah diaudit dan berakhir tanggal 31 desember tahun 2013 - 2018, bank memiliki ekuitas positif dan laba positif dari tahun 2013 - 2018. Sampel penelitian yang sesuai dengan kriteria berjumlah (20 perusahaan bank). Periode pengamatan yang digunakan selama 6 tahun yakni 2013 - 2018, sehingga jumlah pengamatan sebanyak 120 pengamatan (20 x 6 = 120). Data yang digunakan berupa data sekunder seperti laporan keuangan, annual report, dan Indonesian Capital Market Directory (ICMD) pada perbankan tahun 2013 - 2018. Untuk pengumpulan data menggunakan pooled data merupakan penggabungan data time series dan data cross sectional. Analisis data penelitian menggunakan Partial Least Square (PLS). Hasil penelitian menunjukkan: (1) return saham tidak dipengaruhi secara signifikan oleh nilai tukar, return saham dipengaruhi secara signifikan oleh suku bunga, return saham tidak dipengaruhi secara signifikan oleh inflasi. (2) return saham dipengaruhi secara signifikan oleh non performing loan dan loan deposit ratio baik langsung maupun tidak langsung melalui Profitabilitas. (3) Ukuran perusahaan sebagai variabel moderasi tidak berpengaruh signifikan pada profitabilitas terhadap return saham. Kontribusi teori dalam penelitian ini, yaitu: nilai tukar, suku bunga, inflasi, non performing loan, loan deposit ratio, profitabilitas, ukuran perusahaan, dan return saham. Model penelitian ini mengembangkan non performing loan dan loan deposit ratio terhadap profitabilitas sebagai mediasi dalam mempengaruhi return saham pada bank umum. Adapun ukuran perusahaan sebagai moderasi dalam mempengaruhi profitabilitas terhadap return saham pada bank umum
English Abstract
The objective of this research is to empirically assess and prove (1) whether the stock return of commercial banks listed on the Indonesia Stock Exchange is directly affected by macroeconomy as indicated by exchange rate, interest rate, and inflation; (2) whether the said stock return is affected directly by non performing loan and loan to deposit ratio and indirectly through profitability; and (3) whether the firm size of the said banks directly moderates the effect of profitability on stock return. The findings would be expected to support the Theory of the Firm and the Signalling Theory and benefit both academics and practitioners. The population of the research is 43 commercial banks listed in the Indonesia Stock Exchange. Using the criteria of banks that have presented audited financial report ending on December 31 from 2013 to 2018 and that have positive equity and earnings from 2013 to 2018, twenty banks were selected as the sample. Using a six-year observation period, 120 observations were acquired. This study uses secondary data in forms of financial reports, annual reports, and Indonesian Capital Market Directory from the 2013 - 2018 period. They were collected using pooled data, which is the combination between time-series and cross sectional data. The analysis was performed using Partial Least Squares. This study finds that, first, stock return is not significantly affected by exchange rate, is significantly influenced by interest rate, and is not significantly affected by inflation. Second, stock return is significantly influenced by non performing loan and loan to deposit ratio both directly and indirectly through profitability. Third, firm size does not significantly moderate the effect of profitability on stock return. The theoretical contribution of this research is exchange rate, interest rate, inflation, non-performing loan, loan to deposit ratio, profitability, firm size, and stock return. The research model develops non performing loan and loan to deposit ratio against profitability as the moderator in affecting the stock return of commercial banks, while firm size was used as the moderator in the effect of profitability on the stock return of commercial banks
Other obstract
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| Item Type: | Thesis (Doktor) |
|---|---|
| Identification Number: | :0622020056 |
| Uncontrolled Keywords: | Nilai Tukar, Suku Bunga, Inflasi, Non Performing Loan, Loan Deposit Ratio, Profitabilitas, Ukuran Perusahaan, Return Saham, Theory of The Firm, Signaling Theory, exchange rate, interest rate, inflation, non-performing loan, loan-to- deposit ratio, profitability, firm size, stock return, Theory of the Firm, Signaling Theory |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | S2/S3 > Doktor Ilmu Ekonomi, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Nur Cholis |
| Date Deposited: | 28 Jul 2023 07:00 |
| Last Modified: | 28 Jul 2023 07:00 |
| URI: | http://repository.ub.ac.id/id/eprint/202207 |
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