Determinants of Banking Sector Stock Prices in Indonesia

Abstract

This research aimed to analyze the effect of the variables Return On Assets (ROA), Return On Equity (ROE), Prices Earning Ratio (PER), and Earning Per Share (EPS) on stock prices of banking sub-sector companies listed in the Indonesia Stock Exchange (IDX). Secondary data were collected from the IDX websites (www.idx.com) and (www.yahoofinance.com), and panel data regression analysis was used. The Chow, Hausmann, and Lagrange Multiplier (LM) tests were conducted to determine the most suitable model. Furthermore, classical assumption tests such as normality, multicollinearity, heteroscedasticity, autocorrelation, coefficient of determination, F test, and t-test were also performed on the data. The purposive sampling method was used to obtain 21 Indonesian banking companies. The results showed that the ROE variable has a negative effect on stock prices, while ROA and EPS have a positive effect on stock prices.