Bank Specifics and Macroeconomics on Commercial Bank Stock Returns in ASEAN

The purpose of this study is to analyze the relationship between Non-Performing Loan, Net Interest Margin, Return on Assets, Capital Adequacy Ratio, Gross Domestic Product, Interest Rate and Inflation on Stock Returns of commercial banks in ASEAN countries. The population in this study is all commercial banks that have gone public and are listed on the stock exchanges of ASEAN countries in 5 countries, namely Indonesia, Singapore, Malaysia, Thailand and the Philippines with sampling using purposive sampling so that a sample of 17 banks in the 5 countries was obtained. The analysis technique uses panel data regression with the help of Eviews software. Hypothesis testing uses t test and F test. The test results show that the best model in this study is the Random Effect Model (REM) with the results of the hypothesis test showing that Non Performing Loans do not affect Stock Returns, Net Interest Margin does not affect Stock Returns, Return On Assets affects Stock Returns, Capital Adequacy Ratio does not affect Stock Returns, Gross Domestic Product affects Stock Returns, Inflation does not affect Stock Returns, Interest Rate does not affect Stock Returns and Non Performing Loans, Net Interest Margin, Return on Assets, Capital Adequacy Ratio, Gross Domestic Product, Interest Rate and Inflation simultaneously affect Stock Returns of commercial banks in ASEAN countries.