Penelitian ini bertujuan untuk mengetahui ada tidaknya hubungan dan pengaruh indikator kredit yaitu Non Performing Loan (NPL), Penyisihan Penghapusan Aktiva Produktif (PPAP), dan Aktiva Tertimbang Menurut Risiko (ATMR) terhadap Imbal Hasil dan Risiko Saham pada perbankan di Indonesia. Sampel yang digunakan dalam penelitian ini sebanyak 12 bank yang memenuhi syarat dan listing di Bursa Efek Jakarta. Data harga penutupan saham untuk mengolah Imbal Hasil dan Risiko Saham perbankan diambil di website yahoo finance dengan interval harian. Imbal Hasil saham diolah secara mingguan dan Risiko Saham diolah secara tahunan. Sedangkan untuk indikator kreditnya dari laporan keuangan triwulan publikasi diambil di website Bank Indonesia. Data-data mentah tersebut selanjutnya diolah dengan menggunakan pearson product moment dan metode regresi berganda dengan uji interaksi.Hasil penelitian ini adalah Non Performing Loan (NPL) dan Penyisihan Penghapusan Aktiva Produktif (PPAP) tidak memiliki hubungan secara signifikan terhadap Imbal Hasil dan Risiko Saham pada perbankan di Indonesia. Namun, Aktiva Tertimbang Menurut Risiko (ATMR) memiliki hubungan dan mempengaruhi secara signifikan terhadap Imbal Hasil dan Risiko Saham pada perbankan di Indonesia.
This research is made to see the relation and effect of credit indicators sush as Non Performing Loan (NPL), Provision for Loan Losses (PLL), and Risk Weighted Asset (RWA) toward the Stock Return and Risk of banking in Indonesia. These samples? research are 12 banks that meet the requirement and had been listed at Jakarta Stock Exchange (IDX). The daily closing prices of stock taking from yahoo website at finance are used to make stock return and risk. The stock return is made weekly and the stock risk is made years. Meanwhile, the credit indicators are took from quaterly financial statement at Bank Indonesia?s website. Those data are then processed using pearson product moment and multiple regression method with interaction test.The research results are Non Performing Loan (NPL) and Provision for Loan Losses (PLL) have no relation significantly toward the Stock Return and Risk of banking in Indonesia. Meanwhile, Risk Weighted Asset (RWA) have relation and effect significantly toward the Stock Return and Risk of banking in Indonesia. |
