ABSTRACT

The purpose of this study was to examine the influence of Capital Adequency
Ratio (CAR), Non Performing Loan (NPL), Loan to Deposit Ratio (LDE), and Price
Earning Ratio (PER) variables on Stock Return of banking subsector companies
registered in Bursa Efek Indonesia.

This research was done based on empirical study with descriptive method, the
data used were secondary datas which were annual financial reports of banking
companies registered in Bursa Efek Indonesia. Meanwhile data collection method
used population and sample. Data analysis done with Classical Assumption
(Residual Model Normality Test, Multicolinearity Test, Autocorrelation Test,
Heterokedastisity Test), Multiple Linear Regression Analysis, Linearity Test,
Hypothesis Test (Simultaneity F Test, R2 Test, Partial T Test).

Normality test showed that the data distribution was normal and has passed
multicolinearity issue because the Tolerance Value was below 0.10 and the
Variance Inflation Factor (VIF) below 10. In Autocorrelation Test there was no
Autocorrelation found because the Durbin-Watson value was 2.190 in range of
1.55 to 2.46 matched the autocorrelation measurement limits. In
Heterokedastisity Test with Glejser Test there was no Heterokedastisity found
because scatter plot output showed that the points were spread and did not
shape into any particular pattern. In Linearity Test with Ramsey RESET Test, the
Prob. F value was 0.4399, bigger than 0.05 so the regression model has met the
linearity assumption. Hypothesis F Test showed value of 0.01 so the alternative
hypothesis was accepted and the null hypothesis was rejected because it was
influencing Stock Return simultaneously, in T Test there was one independent
variable rejected namely NPL with value of 0.288 significance <5%, in R 2 Test the
Adjusted R Square value was 0.192 which means 19.2% of Stock Return was
influenced by CAR, NPL, LDR, and PER variables meanwhile the rest 80.8% was
influenced by another variables not included in this study.

Keywords: CAR, NPL, LDR, PER, Stock Return