THE IMPACT OF FINANCIAL PERFORMANCES AND MACROECONOMIC FACTORS ON STOCK RETURN OF STATE�OWNED ENTERPRISE BANKS IN INDONESIA FROM 2014 - 2024

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Limi, Chandra (2025) THE IMPACT OF FINANCIAL PERFORMANCES AND MACROECONOMIC FACTORS ON STOCK RETURN OF STATE�OWNED ENTERPRISE BANKS IN INDONESIA FROM 2014 - 2024. Graduate thesis, IPMI institut.

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Abstract

From 2014 to 2024, Indonesia’s state-owned enterprise (SOE) banking sector played a critical role in supporting the national economy, while facing multiple external shocks such as the 2015 US Federal Reserve interest rate hike, the COVID-19 pandemic, and post-pandemic macroeconomic pressures. In April 2025, the Indonesian Rupiah reached a historic low of IDR 16,869 per USD, contributing to a ~32% decline in the Jakarta Composite Index (IHSG) from September 2024 to April 2025. This study examines the impact of financial performance and macroeconomic factors on the stock returns of SOE banks in the KBMI IV category over a ten�year period. Quarterly secondary data from Q1 2014 to Q4 2024 were used, consisting of financial performance indicators (Loan to Deposit Ratio, Net Interest Margin, Capital Adequacy Ratio, Non-Performing Loans, Return on Assets) and macroeconomic variables (GDP of financial services sector growth, M2 growth, IHSG return, inflation, exchange rate return). Panel data regression analysis was conducted, with model selection tests indicating the common-effect model as the most suitable. The results show that financial performance variables have no statistically significant effect on stock returns. Conversely, market return (IHSG) exhibits a strong and significant positive effect, while inflation has a positive but statistically insignificant effect. Other macroeconomic variables, including GDP of financial services, M2 growth, and exchange rate return, show negative and insignificant effects. The findings highlight that macroeconomic and market factors play a greater role than bank-specific financial performance in driving SOE bank stock returns. Investors are advised to closely monitor macroeconomic conditions and market risk when making investment decisions in this sector.Keywords: State-Owned Enterprise, Banking Industry, Financial Service, Stock Return, Macroeconomic Factors, Market Return

Item Type: Thesis (Graduate)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Thesis > Master of Business Administration
Depositing User: sandra margaretha
Date Deposited: 15 Dec 2025 04:57
Last Modified: 15 Dec 2025 04:57
URI: http://repository.ipmi.ac.id/id/eprint/2848

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