Analisis Pengaruh Comprehensive Income Terhadap Market Risk pada Bank yang Terdaftar di Bursa Efek Indonesia

Abstract

This study aims to determine the effect of banking efficiency as measured by the variable cost efficiency and profit efficiency and accompanied by control variables namely credit risk, market risk, liquid risk, financial leverage, and bank size on shareholder value as measured by the variable Tobin's Q, Market To Book Ratio (MTBR) and Return On Average Equity (ROAE) at banks listed on the Indonesia Stock Exchange (IDX). The type of research used is descriptive quantitative. Namely descriptive research with a quantitative approach. The population used in this study is a Commercial Bank listed on the Indonesia Stock Exchange, which amounts to 43 banks. The sample was selected using a purposive sampling method of 22 Commercial Banks in Indonesia that consistently issued bank annual reports during the period 2010-2017. Data collection is done using secondary data in the form of bank annual reports and 2010-2017 financial data panel reports. The results showed that simultaneous independent variable cost efficiency and profit efficiency on the dependent variable, Tobin’s Q, Market To Book Ratio (MTBR) and Return On Average Equity (ROAE) at the 95% confidence level showed that there was a significant and simultaneous influence. Partially it is known that the independent variable of cost efficiency has a negative but not significant effect on Tobin's Q, the cost efficiency variable has a negative and significant effect on Market To Book Ratio (MTBR) and Return On Average Equity (ROAE), while the profit efficiency variable has a positive effect but not significant to Tobin's Q, the profit efficiency variable has a positive and significant effect on Market To Book Ratio (MTBR) and Return On Average Equity (ROAE).

Penelitian ini bertujuan untuk mengetahui pengaruh Comprehensive Income terhadap Market Risk dengan variabel lain yang saling berhubungan yaitu Net Income, Asset Revaluation, Volatility, Debt to Equity Ratio, dan Cash Flow saham perbankan di Indonesia periode 2013-2017. Metode Analisis yang digunakan adalah Hausman Test dalam menjelaskan pengaruh antara Market Risk, dan Volatility dengan Comprehensive Income, Net Income, Asset Revaluation, Debt to Equity Ratio, dan Cash Flow berdasarkan risiko pendapatan saham perbankan di Indonesia. Hasil penelitian menunjukkan secara simultan, seluruh variabel mempengaruhi Market Risk. Secara parsial, hanya variabel Volatility dan Debt To Equity Ratio yang memiliki pengaruh signifikan. Secara Analisis Jalur, seluruh variabel tidak berpengaruh terhadap Market Risk melalui Volatility. Jenis Penelitian yang digunakan adalah deskriptif kuantitatif, yaitu penelitian deskriptif dengan pendekatan kuantitatif. Populasi yang digunakan dalam penelitian ini adalah Bank Umum yang terdaftar di Bursa Efek Indonesia yang berjumlah 43 bank. Sampel dipilih dengan menggunakan metode purposive sampling sebanyak 25 Bank Umum di Indonesia yang konsisten menerbitkan laporan tahunan bank selama periode 2013-2017. Pengumpulan data dilakukan dengan menggunakan data sekunder yang berupa annual report bank dan laporan keuangan data panel 2013-2017. Hasil penelitian ini menunjukkan secara parsial bahwa Comprehensive Income berpengaruh negatif dan tidak signifikan terhadap Market Risk. Net Income berpengaruh positif dan tidak signifikan terhadap Market Risk. Asset Revaluation berpengaruh negatif dan tidak signifikan terhadap Market Risk. Volatility berpengaruh negatif dan signifikan terhadap Market Risk. Debt To Equity Ratio berpengaruh negatif dan signifikan terhadap Market Risk. Cash Flow berpengaruh positif dan tidak signifikan terhadap Market Risk. Volatility merupakan variabel intervening antara hubungan Comprehensive Income, Net Income, Asset Revaluation, Debt To Equity Ratio, dan Cash Flow terhadap Market Risk.