EFISIENSI BANK DI INDONESIA DAN PENGARUHNYA TERHADAP PENGEMBALIAN SAHAM DENGAN PENDEKATAN DEA WINDOW ANALYSIS

KURNIAWAN, DANIEL (2008) EFISIENSI BANK DI INDONESIA DAN PENGARUHNYA TERHADAP PENGEMBALIAN SAHAM DENGAN PENDEKATAN DEA WINDOW ANALYSIS. S2 thesis, UAJY.

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Abstract

Efficiency is one of working parameter that theoretically is one of working that serve as a basis all of organization working. There is some approach to measure organization efficiency. In Indonesia banking, ratio of operational cost and operational income (BOPO) is efficiency measurement that is common used to give score for banking efficiency working (Peraturan Bank Indonesia Nomor 6/25/PBI/2004). BOPO’s ratio is traditional approach within cost efficiency measurement for bank and can not explain conditional of bank proper as well as the result is difficult to be interpreted. DEA is one of the cost frontier approach that can be used to measure banking efficiency. Bank that is more efficient is better too for its working, so efficiency will be reflected in its stock price, because in semi-eficient market, almost all of informations are reflected in stock price. DEA is used to measure effiecieny from each Decision Making Units (DMUs), that is got for maximum from ratio of weighted outputs with weighted inputs. Banking efficiency measurement used five variables, that is two input variables and three output variables. Input variables consist of Total Deposits and Interest Expenses. Output variables consist of Total Loans, Interest Income, and Non-Interest Income. All of variables are processed using EMS software to get banking LQ45 efficiency score. The result is bank LQ45 have efficiency as big as 97,17%. To see the effect banking efficiency to stock return is done by statistic test, regression. Model that is used for this research is fixed-effect model (FEM) with the equation jt jt jt SHR RET =α + β EFF +ε 0 1 _ . After statistic test is done, the result is banking efficiency is not influential to stock return. That is caused by using different variables; in regulation that is announced by Indonesian Central Bank, efficiency only has five percent to ten percent from all factors in calculating banking health; Investor is more focus to KPMM because it has big weight than other factors; efficiency can not measure non-perform from credit whereas there is total loans variabels in efficiency calculating; Indonesian’s investor are still oriented short term so capital gain is more important.

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