Pengaruh Faktor Makroekonomi, Faktor Fundamental dan Return Market terhadap Kinerja Saham Perbankan KBMI IV yang Terdaftar di Bursa Efek Indonesia Periode 2015–2025

Silitonga, Natalia Angelina (2026) Pengaruh Faktor Makroekonomi, Faktor Fundamental dan Return Market terhadap Kinerja Saham Perbankan KBMI IV yang Terdaftar di Bursa Efek Indonesia Periode 2015–2025. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Penelitian empiris ini mengevaluasi dampak variabel makroekonomi, fundamental keuangan internal, dan return pasar terhadap return saham bank kategori KBMI IV yang terdaftar di Bursa Efek Indonesia (BEI) selama periode 2015–2025. Menggunakan metode purposive sampling berdasarkan Peraturan OJK No. 12/POJK.03/2021, data keuangan dan pasar triwulanan dikumpulkan secara retrospektif dari empat lembaga perbankan utama. Tren makroekonomi diukur menggunakan Federal Funds Rate (FFR), nilai tukar USD/IDR, inflasi, dan pertumbuhan PDB sektor keuangan, sementara kinerja internal diproksikan melalui CAR, NPL, ROA, dan LDR, serta return pasar yang diwakili oleh IHSG. Pengujian spesifikasi melalui Uji Chow, Hausman, dan Lagrange Multiplier mengonfirmasi bahwa Common Effect Model (CEM) merupakan model estimasi yang paling sesuai. Pengujian hipotesis secara parsial menunjukkan tingkat signifikansi statistik yang bervariasi di antara variabel-variabel independen. Pada tingkat signifikansi 1%, nilai tukar USD/IDR dan return pasar memberikan pengaruh yang sangat signifikan terhadap return saham. Pada tingkat 5%, kecukupan modal (CAR) dan risiko likuiditas (LDR) menunjukkan pengaruh yang signifikan. Sementara itu, pertumbuhan PDB sektor keuangan dan risiko kredit (NPL) signifikan secara statistik pada tingkat 10%. Sebaliknya, suku bunga global (FFR), inflasi domestik, dan profitabilitas (ROA) tidak menunjukkan dampak yang signifikan secara statistik di seluruh ambang batas yang diuji. Secara simultan, seluruh variabel independen secara bersama-sama memengaruhi return saham dengan Adjusted R² sebesar 0,3127 (31,27%). Hasil ini membuktikan bahwa momentum pasar secara keseluruhan dan fundamental neraca utama lebih dominan daripada kejutan makroekonomi tertentu dalam mendikte return saham bank-bank komersial terbesar di Indonesia. Kata-kata Kunci: Federal Funds Rate, Nilai Tukar USD/IDR, Inflasi, PDB Sektor Keuangan, CAR, NPL, ROA, LDR, Return Pasar, Return Saham. // This empirical study evaluates the impact of macroeconomic variables, internal financial fundamentals, and market returns on the stock returns of KBMI IV category banks listed on the Indonesia Stock Exchange (IDX) over the 2015–2025 period. Using a purposive sampling method based on OJK Regulation No. 12/POJK.03/2021, quarterly financial and market data were retrieved retrospectively across four major banking institutions. Macroeconomic trends were measured by the Federal Funds Rate (FFR), USD/IDR exchange rate, inflation, and financial-sector GDP growth, while internal performance was proxied by CAR, NPL, ROA, and LDR, alongside market returns represented by the IDX Composite. Specification testing via Chow, Hausman, and Lagrange Multiplier tests confirmed the Common Effect Model (CEM) as the most suitable estimator. Partial hypothesis testing reveals varying levels of statistical significance among the explanatory variables. At the 1% significance level, the USD/IDR exchange rate and market return exert a highly significant influence on stock returns. At the 5% level, capital adequacy (CAR) and liquidity risk (LDR) show significant effects. Meanwhile, financial-sector GDP growth and credit risk (NPL) are statistically significant at the 10% level. Conversely, global interest rates (FFR), domestic inflation, and profitability (ROA) show no statistically significant impact across all tested thresholds. Concurrently, all independent variables jointly influence stock returns with an Adjusted R² of 0.3127 (31.27%). These outcomes demonstrate that overall market momentum and core balance-sheet fundamentals outweigh specific macroeconomic shocks in driving equity returns for Indonesia's largest commercial banks. Keywords: Federal Funds Rate, USD/IDR Exchange Rate, Inflation, FinancialSector GDP, CAR, NPL, ROA, LDR, Market Return, Stock Return

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