Analisis Pengaruh Rasio ROA, LDR, NIM dan NPL Terhadap Abnormal Return Saham Perbankan di Indonesia pada Periode Sekitar Pengumuman Subprime Mortgage

Authors

  • Risky Christian Syauta BINUS BUSINESS SCHOOL, BINUS UNIVERSITY, JWC Campus, Jl. Hang Lekir I No. 6, Kebayoran Baru, South Jakarta 12120
  • Indra Widjaja Lecturer Faculty of Economy Universitas Tarumanegara

DOI:

https://doi.org/10.21512/jafa.v1i2.131

Keywords:

Subprime mortgage, event study, abnormal return, ROA, LDR, NIM, NPL.

Abstract

Information has strongly influenced the capital market condition. The information could come from internal company as well as external parties. If an event contains information, usually the market will react at the time information is revealed to the market. An event study method could be used to test the content of information from the event. Like other market, Bursa Efek Indonesia is related to some information. This research analyzes the USA mortgage sub-prime effect on the banking stocks in Indonesia. The reaction from market could be seen in return abnormal changes in 7 days before and after the announcement. A sample of 26 banking stocks is chosen for this research to test the effect of USA sub-prime mortgage on banking stocks in Indonesia, particularly on its Return On Assets (ROA), Loan to Deposit Ratio (LDR), Net Interest Margin (NIM) and Non Performing Loan (NPL) with t-test and multiple regression. The result shows the abnormal returns of banking stocks at BEI are significantly influenced by USA sub-prime mortgage except 5 days and 1 day before the announcement and 1 day and 6 days after. The banking performances, ROA and NPL, are also affected by the USA sub-prime mortgage.
Dimensions

Plum Analytics

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Published

2009-06-28

Issue

Vol. 1 No. 2 (2009): Published on June 2009

Section

Articles

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