Analysis of Fundamental Factors That Influence Stock Return on Banking in Indonesia Stock Exchange (Study Case in Bank Companies Listed in Indonesia Stock Exchange From Period of 2008-2011)

Abstract

Bank sector is one of important sector than property or the other big company that focus in economic. Indonesia is one of biggest nation in Asia that has big capability to keep their economic condition such as China, India, and Singapore. Many western country and overseas looking at Indonesia as the prospect nation to investing their capital, it is hard to convincing investor to invest their capital to company without any real action and good story of the company itself. Investor can be used as fundamental factors and economic factors as a basic to see and predict opportunity of investor to do investment or not in the company. The financial data are taken from Bank of Indonesia and Indonesia Stock Exchange (IDX) annually data in period 2008 – 2011. The total of research sample and population are 25 bank with purposive sampling method. Analysis technic that used on this research is linier multiple regression to figure relationship between one variable to another variable. The result of this research shows that Exchange rate, Inflation has negative and significant effect toward stock return, Interest rate, Capital Adequacy Ratio (CAR), Non-Profit Loan (NPL), Loan to Deposit Ratio (LDR) has no significant effect toward stock return, and Net Interest Margin (NIM), Return on Asset (ROA) has positive and significant effect stock return. The result of this research hopefully can be used as guidance for managerial and investor to decide investment strategy.