Department of Development Economic Study, 2008

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ANALISIS DATA PANEL : PENGARUH PROFITABILITAS DAN LEVERAGE TERHADAP HARGA SAHAM PADA BANK YANG LISTING DI BURSA EFEK INDONESIA PERIODE 2000-2006

Deasy Arie Sandy

Abstract


This research was limited in the financial management. It was emphasized on analysis of profitability (ROE,ROA) influence and leverage (DER, DR) toward stock price of banking company that listing in the Indonesian Stock Exchange in the last 7 years (2000-2006).
The aim of this research is to know the influence of the profitability that consist of Return On Equity (ROE) and Return On Asset (ROA), as well as the influence leverage that consisted of Debt to Equity Ratio (DER) and Debt Ratio (DR) both simultaneously and partially to stock price to the banking company that was listing in the Indonesian Stock Exchange.
This research used the analysis implement of regression of the panel data by using the Eviews program. From the results of regression of the panel data, it could be know the influence of the significance of independent variable to dependent variable both simultaneously and partially by using f test and t test.
The results of f test showed that the variable of ROE, ROA, DER and DR had significance influences to stock price that was shown with the F value counted of 47.35 > F table of 2.53 in α = 5%. The results of t test showed that variable of ROE and DER had significant influences to stock price partially. ROE had the counted of t value |2,553978| > t table (2.000) in α = 5%. DER had the counted of t value |2,877598| > t table (2.000) in α = 5%. The variable had no significant influences to stock price was variable of ROA and DR. ROA had the counted of t value |1,685794| < t table (2.000) in α = 5%. DR had the counted of t value |1,247517| < t table (2,000) in α = 5%. The value of determination coefficient (R2) was 69%, it showed that variable of ROE, ROA, DER and DR had contribution that was big enough in explaining the movement of stock price. From the coefficient random effect, it could be known that the bank with the biggest intercept values was PT. Bank Mega Tbk. whereas that had smallest intercept values was PT. Bank Victoria Tbk.
Based on the conclusion above, the writer could implicate that the emitten of banking preferably gave information about its company's finance report accurately, periodically and continually in order that investors know about the condition of the company well.

Keyword : Profitabilitas (ROE dan ROA), leverage (DER dan DR), harga saham.

 

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