Analisis Pengaruh Likuiditas, Kualitas Aset, Kecukupan Modal, Profitabilitas, dan Earning yield terhadap Return Saham dengan variabel kontrol Exchange Rate dan Market Return pada PT Bank Rakyat Indonesia Sebelum dan Sesudah COVID-19

Windiyana, Hana Dwi (2025) Analisis Pengaruh Likuiditas, Kualitas Aset, Kecukupan Modal, Profitabilitas, dan Earning yield terhadap Return Saham dengan variabel kontrol Exchange Rate dan Market Return pada PT Bank Rakyat Indonesia Sebelum dan Sesudah COVID-19. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Riset ini bertujuan menguji pengaruh Kinerja Keuangan yang menggunakan indikator LDR, NPL, CAR, ROE dan Earning yield terhadap Return saham. Riset ini menggunakan variabel kontrol Exchange Rate dan Market Return serta variabel dummy yaitu Periode Covid-19. Objek riset ini yakni PT Bank Rakyat Indonesia dengan data kuartalan sebelum Covid-19 (2011-2019) dan sesudah Covid-19 (2020-2023). Riset ini menggunakan metode analisis time series multiple regression dan analisis deskriptif, uji asumsi klasik, uji F, uji t dan R2 yang diolah mengunakan SPSS 25 dengan jenis data sekunder. Berdasarkan hasil penelitian yakni Loan to Deposit Ratio (LDR), Non Performing Loan (NPL), Capital Adequacy Ratio (CAR),Return On Equity (ROE), Earning yield, Exchange Rate dan Periode Covid-19 secara parsial tidak berdampak signifikan terhadap Return saham, namun Market Return berdampak signifikan pada Return saham. Secara Simultan Loan to Deposit Ratio (LDR), Non Performing Loan (NPL), Capital Adequacy Ratio (CAR), Return On Equity (ROE), Earning yield, Exchange Rate, Market Return dan Periode Covid-19 berdampak sangat signifikan terhadap return saham. Kesimpulan riset ini yakni Kinerja Keuangan tidak secara signifikan berdampak pada return saham sedangkan secara keseluruhan Return saham BRI di pengaruhi oleh pergerakan kondisi pasar sejalan dengan teori Capital Asset Pricing Model (CAPM), teori tersebut mengatakan faktor utama yang mempengaruhi return saham yaitu pergerakan kondisi pasar. Kata Kunci : Capital Adequacy Ratio (CAR), Earning yield, Exchange Rate, Loan to Deposit Ratio (LDR), Market Return, Non Performing Loan (NPL), Periode Covid-19, Return On Equity (ROE), Return Saham / This study aims to test the effect of Financial Performance using LDR, NPL, CAR, ROE and Earning yield indicators on Stock Returns. This study uses control variables Exchange Rate and Market Return and dummy variables, namely the Covid-19 Period. This study's focus is PT Bank Rakyat Indonesia, and it uses quarterly data from before COVID-19 (2011–2019) and after COVID-19 (2020–2023). Time series multiple regression, descriptive analysis, the classical assumption test, the F test, the t test, and R2 are the analysis methods employed in this study. The data used in this study is secondary data, and SPSS 25 is used for processing. According to the findings of the research, market return has a significant impact on stock returns, while the loan to deposit ratio (LDR), non-performing loans (NPL), capital adequacy ratio (CAR), return on equity (ROE), earnings yield, exchange rate, and COVID-19 period have a minor impact. Stock returns are significantly impacted by the loan-to-deposit ratio (LDR), non-performing loan (NPL), capital adequacy ratio (CAR), return on equity (ROE), earning yield, exchange rate, market return, and COVID-19 period. According to the Capital Asset Pricing Model (CAPM) theory, which holds that market conditions are the primary factor influencing stock returns, the study's findings indicate that financial performance has little bearing on stock returns while overall BRI stock returns are impacted by changes in market conditions. Keywords : Capital Adequacy Ratio (CAR), Earning yield, Exchange Rate, Loan to Deposit Ratio (LDR), Market Return, Non Performing Loan (NPL), Covid-19 Period, Return On Equity (ROE), Stock Returns

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