The Integrated Relationships of Financial Performances, Macroeconomic and Monetary Environment, and Market Factor on Stock Returns: An Empirical Study of KBMI IV Banks in Indonesia (2015–Q1 2026)

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Hutapea, Yulitari Flora Theresa BR. (2026) The Integrated Relationships of Financial Performances, Macroeconomic and Monetary Environment, and Market Factor on Stock Returns: An Empirical Study of KBMI IV Banks in Indonesia (2015–Q1 2026). Masters thesis, IPMI Institute.

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Abstract

This study examines the integrated effects of financial performance, macroeconomic and monetary conditions, and market factors on the stock returns of Indonesia’s largest banks classified under Core Capital-Based Bank Group IV (KBMI IV) during Q1 2015–Q1 2026. The study is motivated by the rapid expansion of Indonesia’s capital market, where the number of investors increased from approximately 3.88 million in 2020 to more than 22.96 million in February 2026, alongside substantial fluctuations in banking stock returns. Under POJK No. 12/POJK.03/2021, KBMI IV represents banks with core capital exceeding IDR 70 trillion. The study focuses on BBCA, BBRI, BMRI, and BBNI and employs a quantitative approach using quarterly secondary data and panel data regression. The balanced panel consists of four banks over 45 quarters, resulting in 180 observations. Financial performance is represented by LDR, ROE, CAR, NPL, and CIR; macroeconomic and monetary conditions by BI Rate, Inflation, M2 Growth, Foreign Exchange Reserves Growth, and Exchange Rate Return; and the market factor by IHSG Return. The results show that Market Return has a positive and statistically significant effect on Stock Return (coefficient = 1.077551; p-value = 0.0018), whereas the other variables do not demonstrate statistically significant individual effects. Collectively, however, all explanatory variables significantly affect Stock Return (Prob. F-statistic = 0.0000), with the model explaining 57.60% of its variation. The results show that general market movements are the most important factor in explaining the quarterly return on shares for the KBMI IV banks, thereby highlighting the significance of systematic market conditions in accounting for the performance of banking stocks.

Keywords: Stock Return, Financial Performance, Macroeconomic and Monetary Environment, Market Return, KBMI IV Banks

Item Type: Thesis (Masters)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Thesis > Master of Business Administration
Depositing User: sandra margaretha
Date Deposited: 28 Sep 2026 02:34
Last Modified: 28 Sep 2026 02:34
URI: http://repository.ipmi.ac.id/id/eprint/3028

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