ANALISIS PENGARUH RISIKO KREDIT, RISIKO PASAR DAN MODAL TERHADAP RETURN SAHAM PERBANKAN

Abstract

This study aimedtoexamine the effect ofcredit risk, as measured by Non-Performing Loans(NPL), the marketriskas measured by theNet Interest Margin (NIM) andcapitalas measured byAdequancyCapitalRatio(CAR) of thebankstock returnslistedinthe Indonesia Stock Exchangethe period 2010-2012.

Study is aform ofquantitativeresearch. With atotal population of32banks listedon theIndonesia Stock Exchange period2010-2012. Samplesweretakenusing purposive sampling techniqueis the determination ofthe samplewithparticularconsiderationto thetotal sample of27 banks. The data usedaresecondary datafromwww.idx.co.id.Analysis of datausing multiple regression analysis.

Based onmultiple regression analysisshowedthat theNon-Performing Loan(NPL) has apositivevalueandno significant effecton stock returnsbyvaluetcount1,564less than thevalue t_tabel1,992.Net Interest Margin(NIM) has apositivevalueandno significant effecton stock returnswith avalue of0.952t_countsmaller than thevalue t_tabel1,992. ForCapitalAdequacy Ratio(CAR) has anegative valueandno significant effecton stock returnswith a value of-0.594t_countgreaterthanthe value of-1.992t_table.

Based on the resultsof the analysisshould betheinvestors inthe investmentanalysisshouldalsoperformfundamental analysisas a complement totechnical analysisin makinginvestment decisions.

Keywords: Credit Risk, Market Risk, Capital, Stock Return