Determinant of banks stock risk in Indonesia

Rahmat Setiawan and R. Anggraeni (2017) Determinant of banks stock risk in Indonesia. In: Increasing Management Relevance and Competitiveness. Proceedings of the 2nd Global Conference on Business, Management and Entrepreneurship (GC-BME 2017) . CRC Press, Taylor & Francis Group, London, pp. 375-380. ISBN 978-0-8153-7455-8 (Hbk), ISBN: 978-1-351-24189-2

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Abstract

The purpose of this study is to examine the determinant of bank’s stock risks on the Indonesian Stock Exchange. This study uses a multiple linear regression analysis model, and the data was obtained from the bank’s financial statements published during the 2006–2015 period. The dependent variable in this study is the bank’s stock risk that is proxied by the standard deviation of the daily bank’s stock risk. The independent variables in this study are the book value Equity to Total Asset (EQTA), Non-Performing Loan (NPL), Liquid Asset to Total Asset (LIQATA), and Standard Deviation of ROA (SDROA). The results showed that NPL and SDROA have a positive influence on bank stock risk, while EQTA and LIQATA have a negative influence on bank stock risk.

Item Type: Book Section
Uncontrolled Keywords: bank’s stock risk, book value Equity to Total Asset (EQTA), Non-Performing Loan (NPL), Liquid Asset to Total Asset (LIQATA), Standard Deviation of ROA (SDROA)
Subjects: H Social Sciences
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG1-9999 Finance > HG1501-3550 Banking
Divisions: 04. Fakultas Ekonomi dan Bisnis > Manajemen
Creators:
CreatorsNIM
Rahmat SetiawanNIDN0026017901
R. AnggraeniUNSPECIFIED
Depositing User: Tn Sugeng Riyanto
Date Deposited: 15 Dec 2020 01:41
Last Modified: 15 Dec 2020 01:41
URI: http://repository.unair.ac.id/id/eprint/101656
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