STOCK RETURN MODEL IN THE BANKING SECTOR

Abstract The purpose of this research is to analyze the impact of the Interest Rates (I.R) and Loan to Deposit Ratio (LDR) variables on Return On Assets (ROA) which has implications for Stock Return (SR). This is based on the occurrence of phenomena and inconsistencies in various previous studies, thus encouraging researchers to conduct research again. The type of research is quantitative with multiple regression analysis methods for panel data using 7 cross section samples and 10 years as a time series. The research uses a formula to maximize the Stock Return value through Return On Assets as an intervening variable using the research object of banking sector companies on the Indonesia Stock Exchange. This research uses two models that are integrated into one research model, each of which goes through the model selection test stages, Chow Test, Hausman Test, and Lagrange Multiplier Test. The result is that explaining I.R can only explain its influence on SR indirectly, namely through ROA which functions as a mediator. Another result is that LDR cannot explain its influence on SR directly or indirectly. It is hoped that the results of this research can provide guidance for banking practitioners in Indonesia and market players so they can maximize Stock Returns.