ANALYSIS OF THE MACROECONOMIC INDICATORS AND FINANCIAL PERFORMANCE TO BANK STOCK RETURNS LISTED IN QUALITY 30 INDEX PERIOD Q1 2015 – Q3 2020

• Main Author: Ayu Susilowati, Risa
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/53505
• Institution: Institut Teknologi Bandung

Finance industry holds the biggest pie in JCI with 35% of market capitalization. Price movement of financial industry stocks will affect significantly to JCI an play essential role in Indonesian Capital Market. In August 2020, IDX launched Quality 30 Index that measure the stock performance with high profitability, good solvency, and stable growth with high trading liquidity. This study aims to analyze the effect of GDP Growth, inflation, BI Rate, CAR, LDR, ROA, ROE, NIM, and NPL to bank stock return in Quality 30 Index during Q1 2015 – Q3 2020 period. All the data are analyzed using Stata with fixed effect panel regression method. Result shows that GDP Growth and inflation have negative significant relationship while, BI Rate and NIM have positive significant relationship toward bank stock returns included in Quality 30 Index during Q1 2015 – Q3 2020. Furthermore, this study also analyzed the diversification effect in combining finance sectors and other sectors. Based on this study, the combining finance sector with other sectors will reduce standard deviation of portfolio, thus, the risk of portfolio will decrease compared to hold single sector portfolio.