Pengaruh Faktor Mikro, Makroekonomi, dan Return Market terhadap Return Saham Bank Konvensional dan Bank Digital di Bursa Efek Indonesia Periode 2019 2025

Simanjuntak, Nova Marlina (2026) Pengaruh Faktor Mikro, Makroekonomi, dan Return Market terhadap Return Saham Bank Konvensional dan Bank Digital di Bursa Efek Indonesia Periode 2019 2025. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Sektor perbankan memiliki peran strategis dalam mendukung stabilitas dan pertumbuhan ekonomi nasional, namun kinerjanya sangat dipengaruhi oleh dinamika kondisi internal keuangan serta fluktuasi indikator ekonomi makro. Salah satu permasalahan utama yang dihadapi investor di pasar modal adalah ketidakstabilan return saham yang dipengaruhi oleh volatilitas kinerja fundamental perbankan, guncangan inflasi, serta arah pergerakan pasar saham gabungan. Penelitian ini bertujuan untuk menganalisis pengaruh faktor mikro perbankan yang diproksikan melalui Loan to Deposit Ratio (LDR), Return on Assets (ROA), Capital Adequacy Ratio (CAR), dan Non Performing Loan (NPL), faktor makroekonomi yang diproksikan melalui Inflasi, Suku Bunga Acuan, Nilai Tukar, dan Produk Domestik Bruto (PDB), serta Return Market dan karakteristik model bisnis (Variabel Dummy) terhadap return saham bank konvensional dan bank digital yang terdaftar di Bursa Efek Indonesia (BEI) pada periode 2019–2025. Metode penelitian yang digunakan adalah pendekatan kuantitatif dengan desain penelitian asosiatif kausal. Data yang digunakan merupakan data sekunder berupa data panel yang diperoleh dari laporan keuangan publikasi, serta sumber resmi otoritas moneter dan lembaga statistik terkait. Teknik analisis data yang digunakan adalah regresi data panel, di mana pendekatan Common Effect Model (CEM) terpilih sebagai model estimasi terbaik berdasarkan uji spesifikasi data panel. Hasil penelitian menunjukkan bahwa secara parsial, variabel Likuiditas (LDR) dan Produk Domestik Bruto (PDB) berpengaruh negatif dan signifikan terhadap return saham, sedangkan Inflasi berpengaruh negatif dan signifikan pada taraf toleransi sepuluh persen (alpha = 10%). Sementara itu, variabel Return Market dan karakteristik model bisnis (Dummy) terbukti berpengaruh positif dan signifikan terhadap return saham, di mana emiten berbasis bank digital cenderung menghasilkan return saham yang lebih tinggi dibandingkan bank konvensional. Sebaliknya, variabel profitabilitas (ROA), solvabilitas (CAR), risiko kredit (NPL), suku bunga acuan, dan nilai tukar secara parsial tidak berpengaruh signifikan terhadap return saham perbankan. Secara simultan, seluruh variabel independen secara bersama-sama berpengaruh signifikan terhadap return saham dengan nilai kemampuan penjelas model (Adjusted R-squared) sebesar 0,438474 (43,85%). Kesimpulan penelitian menunjukkan bahwa return saham perbankan dipengaruhi secara kuat oleh sentimen pasar agregat, digitalisasi model bisnis, pengelolaan likuiditas, serta rotasi sektor investasi akibat pertumbuhan ekonomi makro, sehingga investor perlu pertimbangkan kesatuan indikator internal dan eksternal tersebut dalam pengambilan keputusan investasi yang rasional. Kata Kunci: Faktor Mikro, Makroekonomi, Return Market, Bank Digital, Return Saham / The banking sector plays a strategic role in supporting national economic stability and growth, yet its performance is highly sensitive to the dynamics of internal financial conditions and macroeconomic indicator fluctuations. One of the primary challenges investors face in the capital market is the instability of stock returns, which are driven by the volatility of fundamental banking performance, inflationary shocks, and the overall movement of the composite stock market. This study aims to analyze the effects of banking micro factors proxied by Loan to Deposit Ratio (LDR), Return on Assets (ROA), Capital Adequacy Ratio (CAR), and Non Performing Loan (NPL) macroeconomic factors proxied by Inflation, Reference Interest Rate, Exchange Rate, and Gross Domestic Product (GDP) as well as Return Market and business model characteristics (Dummy Variable) on the stock returns of conventional and digital banks listed on the Indonesia Stock Exchange (IDX) for the 2019–2025 period. The research method employs a quantitative approach with a causal associative research design. Secondary data in the form of panel data were obtained from published financial statements, as well as official sources from monetary authorities and relevant statistical agencies. Panel data regression analysis was utilized as the data analysis technique, where the Common Effect Model (CEM) was selected as the best estimation model based on panel data specification tests. The empirical results indicate that partially, the Liquidity (LDR) and Gross Domestic Product (GDP) variables have a negative and significant effect on stock returns, while Inflation exhibits a negative and significant effect at the ten percent tolerance level (alpha = 10%). On the other hand, the Return Market and business model characteristics (Dummy) variables are proven to have a positive and significant effect on stock returns, demonstrating that technology-based digital bank issuers tend to generate higher stock returns compared to conventional banks. Conversely, profitability (ROA), solvency (CAR), credit risk (NPL), reference interest rate, and exchange rate variables partially show no significant effect on banking stock returns. Simultaneously, all independent variables jointly exert a significant effect on stock returns, with an explanatory power of the model (Adjusted R-squared) valued at 0.438474 (43.85%). The study concludes that banking stock returns are strongly driven by aggregate market sentiment, business model digitalization, liquidity management, and investment sector rotation resulting from macroeconomic growth. Therefore, investors must comprehensively evaluate both internal and external indicators to ensure rational investment decision-making. Keywords: Micro Factors, Macroeconomics, Return Market, Digital Banking, Stock Return

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