ANALISIS PENGARUH TINGKAT KESEHATAN BANK DENGAN METODE CAMELS TERHADAP RETURN SAHAM (Studi Kasus pada Bank Listed di BEI Periode 2008-2014)

Abstract

study aims to analyze the influence of banks health – measured with CAMELS to stock return on banking companies listed in Indonesia Stock Exchange in the period of 2008 – 2014. This research use 7 independent variable, which are Capital Adequacy Ratio (CAR), Net Interest Margin (NIM), Loan to Deposit Ratio (LDR), Non-Performing Loan (NPL), Operating Expenses on Operating Income (BOPO), credit sensitivity to inflation changes, and credit sensitivity to Bank Indonesia interest rate changes. The dependent variable is stock return. Sampling technique used in this research is purposive sampling. The method used in data collection is by using documentation, thus the type of data is secondary data. Multivarite Linear Regression Method with classical assumption test is chosen as the method for examine the research hypothesis. The result shows that all 7 independent variables simultaneously influence the variation of stock return by 50.7%, which is showed by R square value = 50.7. Partially, the NIM and LDR has a positive and significant impact on stock return, whereas credit sensitivity to inflation changes and credit sensitivity to Bank Indonesia interest rate changes has a negative and significant impact on stock return. This are showed by the T signification test. At the same time, CAR, NPL and BOPO do not have influence on the dependent variable.