Indonesia Conference Directory

This study aims to determine the effect of profitability, capital adequacy, liquidity risk, credit risk and systematic risk on banking shares return listed in the Indonesia Stock Exchange in the period of year 2012-2017. This study uses a sample of 22 banks listed on the Indonesia Stock Exchange over a period of six years, 2012-2017 with a number of 132 observation panel data. Data collection techniques using the method of documentation through the official site of the Indonesia Stock Exchange (IDX), namely www.idx.co.id, www.investing.com and www.yahoofinance.com. and other official web banking information sources and analyzed using Eviews software version 10. The results of the study concluded that the ROA ratio has a positive and significant effect on bank stock returns, which indicates that the profitability represented by the ROA ratio as a measure of bank performance is able to influence market or investor reactions. CAR ratio has a positive and significant effect on banking stock returns. LDR ratio has a negative but not significant effect on stock returns. The NPL ratio has a positive but not significant effect on stock returns. Stock Beta has a negative but not significant effect on stock returns.