Determining the Stock Price of Bank KBMI 3 in Indonesia: A Financial Ratio Analysis Using a Panel Data Approach for the Period 2017–2024

Putra Arfiansyah; Ladi Wajuba Perdini Fisabilillah

doi:10.55927/fjmr.v5i4.50

Authors

Putra Arfiansyah Universitas Negeri Surabaya
Ladi Wajuba Perdini Fisabilillah Universitas Negeri Surabaya

DOI:

https://doi.org/10.55927/fjmr.v5i4.50

Keywords:

Share Price, Return on Equity, Capital Adequacy Ratio, Price to Book Value, Non-Performing Loans

Abstract

This study aims to analyze the influence of financial ratios on the stock price of KBMI 3 banks in Indonesia for the period 2017–2024. The variables used include: Return on Equity (ROE), Capital Adequacy Ratio (CAR), Price to Book Value (PBV), and Non-Performing Loan (NPL), with a Covid-19 dummy control variable. The study used a quantitative approach with quarterly panel data on nine banks listed on the Indonesia Stock Exchange, and was analyzed using a fixed effects model with robust standard errors. The results show that CAR and PBV significantly influence stock prices, while ROE and NPL are insignificant. Simultaneously, all variables have a significant effect. These findings suggest that investors respond more to capital strength and valuation than to profitability and credit risk.

References

Alamsyah, R., Rp, W. W., & Tartilla, N. (2023). The Influence of Bank Health Levels on Share Prices in Conventional General Banking Listed on the Indonesian Stock Exchange for the Period 2019 – 2022. International Journal of Advanced Technology and Social Sciences (IJATSS), 1(3), 173–183.

Almustafa, E. (2025). Profitability Indicators and Stock Price Dynamics : Insights from the Saudi Islamic Banking Sector [2014 – 2023]. WSEAS TRANSACTIONS on BUSINESS and ECONOMICS, 22, 1491–1505. https://doi.org/10.37394/23207.2025.22.120

Anggraini, D. (2022). Analysis of the Effect of Financial Ratios on Banking Stock Prices. Indonesia Accounting Research Journal, 09(03), 83–91. https://journals.iarn.or.id/index.php/IARJ/index%0AAnalysis

Arifin, C. B., Zulbetti, R., & Perwito. (2024). Financial Ratios’ Effect on Stock Prices in Banking Subsector Companies. Jurnal Ilmu Keuangan Dan Perbankan (JIKA), 14(1), 131–142.

Aryanti, A. N., Rahmi, P. P., & Herlina, L. (2022). Pengaruh ROA, ROE, LDR, CAR, Dan NPL Terhadap Harga Saham Perbankan Yang Terdaftar di BEI. ARBITRASE: Journal of Economics and Accounting, 3(1), 156–163. https://doi.org/10.47065/arbitrase.v3i1.479

Astawa, I. K. Y., & Utama, I. M. K. (2025). Analysis of the Effect of Return on Equity, Capital Adequacy Ratio, and Loan to Deposit Ratio on Stock Prices. Jayapangus Press Ganaya : Jurnal Ilmu Sosial Dan Humaniora, 8(3), 35–48.

Beirne, J., Renzhi, N., Sugandi, E., & Volz, U. (2021). COVID-19, asset markets and capital flows. Pacific Economic Review, 26(4), 498–538. https://doi.org/10.1111/1468-0106.12368

Brigham, E. F., & Ehrhardt, M. C. (2017). Financial Management - Theory and Practice. In Cengage Learning (15e ed.). Cengage Learning.

Bursa Efek Indonesia. (2020). Laporan Tahunan Bursa Efek Indonesia 2020 - Digital Capabilities to Advance Further. In IDX Official Website. https://www.idx.co.id/id/perusahaan-tercatat/laporan-keuangan-dan-tahunan

Bursa Efek Indonesia. (2021). Laporan Tahunan2021 - Outperforming Expectations amidst Uncertainties. https://www.idx.co.id/id/tentang-bei/laporan-tahunan/

Bursa Efek Indonesia. (2025). Idx Fact Sheet Composite.pdf.

Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2011). Signaling theory: A review and assessment. Journal of Management, 37(1), 39–67. https://doi.org/10.1177/0149206310388419

Dahlquist, J., & Knight, R. (2022). Principles of Finance. Openstax.

Demirgüç-Kunt, A., Pedraza, A., & Ruiz-Ortega, C. (2021). Banking sector performance during the COVID-19 crisis. Journal of Banking and Finance, 133. https://doi.org/10.1016/j.jbankfin.2021.106305

ElFayoumi, K., & Hengge, M. (2021). Capital Markets, COVID-19 and Policy Measures. In IMF Working Papers (Vol. 21, Issue 33). https://doi.org/10.5089/9781513569413.001

Elwisam, Muhani, Ria, Digdowiseiso, K., Kartini, Juliandi, D., & Saputra, D. (2024). Implementation of Signaling Theory in Financial Management: a Bibliometric Analysis. Revista de Gestao Social e Ambiental, 18(3), 1–13. https://doi.org/10.24857/rgsa.v18n3-092

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance.

Febriana, H., Rismanty, V. A., Bertuah, E., Permata, S. U., Anismadiyah, V., Sembiring, L. D., Dewi, N. S., Jamaludin, Jatmiko, N. S., Inrawan, A., Astuti, W., & Dewi, I. K. (2023). Dasar-Dasar Analisis Laporan Keuangan. In Jurnal Bisnis dan Keuangan (Vol. 4, Issue 1).

Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics. The Mcgraw-Hill Companies, Inc.

Iswandi, Syahrial, D., & Susilo, W. H. (2020). The Predict Of Stock Return On The Commercial Banks: Insight The Signaling Theory Perspective. International Journal of Recent Scientific Research, 11(02), 37639–37646. https://doi.org/10.24327/IJRSR

Khabibah, N. A., & Waharini, F. M. (2022). Covid-19: The Newest Black Swan Crisis and Its Effect toward Banking Stocks. Jurnal Riset Akuntansi Dan Keuangan, 10(2), 231–242. https://doi.org/10.17509/jrak.v10i2.45091

Miller, F. M. and M. H. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment (Vol. 48, Issue 3). American Economic Association. https://doi.org/10.1136/bmj.2.3594.952

Muktiadji, N., & Pamungkas, B. (2022). The Effect of Financial Ratio on Stock Price of Banks Listed on the Indonesia Stock Exchange (IDX). Asian Journal of Economics, Business and Accounting, 22(24), 232–240. https://doi.org/10.9734/ajeba/2022/v22i24910

Muntakim M & Choudhury. (2024). Signaling Theory: An Approach to Organizational Behavior Research. Journal of Accounting, Business and Management (JABM), 31(2 october), 97–120.

Natalia, P. S., & Pernamasari, R. (2025). Post-Pandemic Banking Resilience: Examining the Influence of Risk Profile, Earnings, and Capital on Stock Prices in Indonesia. Jurnal Riset Akuntansi Terpadu, 18(1), 41–52. https://doi.org/10.35448/jrat.v18i1.31411

Otoritas Jasa Keuangan. (2021). Peraturan Otoritas Jasa Keuangan Nomor 12/POJK.03/2021 tentang Bank Umum (Issue 163).

Pagano, M. (2005). The Modigliani-Miller Theorems: A Cornerstone of Finance (139; Issue May).

Permatasari, D., & Nugroho, V. (2023). Analysis of the Effect of the COVID-19 Pandemic on Stock Return of Banking Company. International Journal of Application on Economics and Business, 1(1), 382–392. https://doi.org/10.24912/ijaeb.v1i1.382-392

Prayoga, L., Sari, E., & Febriani, E. (2025). Pengaruh Rasio Keuangan Terhadap Harga Saham Perbankan Periode 2020-2022. Journal of Innovation, Finance, Management, and Accounting, 1(1), 55–70.

Purba, Y. S. (2023). Pengaruh Capital Adequacy Ratio (CAR) Dan Non Performing Loan (NPL) Terhadap Harga Saham Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2017-2021. Media Informasi Penelitian Kabupaten Semarang, 5(1). https://doi.org/https://doi.org/10.55606/sinov.v5i1.566

Purwati, A., & Mareta, S. (2024). The Effect of Return on Risk Assets (RORA), Loan To Deposit Ratio (LDR) and Capital Adequacy Ratio (CAR) on Stock Prices (Empirical Study on Banking Sector Companies on the Indonesia Stock Exchange in 2020-2023). Journal of Accounting and Finance Management, 5(5), 1100–1108. https://doi.org/10.38035/jafm.v5i5.1045

Ross, S. A., Westerfield, R. W., & Jordan, B. D. (2003). Fundamental of Corporate Finance. The Mcgraw-Hill Companies, Inc.

Rossela, E., Ginting, B., & Sussanto, H. (2024). The Impact of Return on Asset (ROA), Capital Adequacy Ratio (CAR), Price-Earnings Ratio (PER), and Price-To-Book Value (PBV) on Stock Prices of Banking Companies Listed on the LQ45 Index during 2019-2023. 07(10), 6199–6206. https://doi.org/10.47191/jefms/v7

Sandora, R., & Saleh, M. (2023). Examining the Effect of Bank Health Level towards Stock Return of Commercial Banks in Three-Selected ASEAN Countries. International Journal of Finance, Economics and Business, 2(4), 258–268. https://doi.org/10.56225/ijfeb.v2i4.184

Scott, W. R. (2015). Financial Accounting Theory. In M. Farrell (Ed.), Pearson (7th ed.). Pearson. https://doi.org/10.1201/b16379

Sharma, S., Bhardwaj, I., & Kishore, K. (2023). Capturing the impact of accounting and regulatory variables on stock prices of banks – an empirical study of Indian banks in panel data modeling. Asian Journal of Accounting Research, 8(2), 184–193. https://doi.org/10.1108/AJAR-11-2020-0110

Siagian, Y. W. O., Sinaga, R., Sinaga, E., & Br.Sinaga, J. B. L. A. (2020a). Pengaruh Earning Per Share (EPS). Return On Equity (ROE), dan Price Book Value (PBV) Terhadap Harga Saham pada perusahaan Perbankan Yang Terdaftar di Bursa Efek Indonesia Tahun 2015-2017. Owner (Riset Dan Jurnal Akuntansi), 4(2), 387. https://doi.org/10.33395/owner.v4i2.270

Siagian, Y. W. O., Sinaga, R., Sinaga, E., & Br.Sinaga, J. B. L. A. (2020b). Pengaruh EPS, ROE, PBV terhadap Harga Saham pada Perusahaan Perbankan yang Terdaftar di BEI. Owner (Riset Dan Jurnal Akuntansi), 4. https://doi.org/https://doi.org/10.33395/owner.v4i2.270

Suryadi, G. K. D. S., & Dana, I. M. (2023). Pengaruh Profitabilitas, Price to Book Value, Book Value Per Share Terhadap Harga Saham Perusahaan Perbankan. E-Jurnal Manajemen, 12(1), 69–91.

Ulyah, S. M., Susanti, R., Andreas, C., Rahmayanti, I. A., Rifada, M., Fitriyani, N. L., & Ana, E. (2024). A Multivariate Regression with Time Series Error in Forecasting Jakarta Composite Index and Stock Prices of Banking Industry in Indonesia by Considering COVID-19 Effect. International Journal of Technology, 15(6), 1839–1850. https://doi.org/10.14716/ijtech.v15i6.5469

Van Greuning, H., & Brajovic-Bratanovic, S. (2020). Analyzing banking risk : A Framework for Assessing Corporate Governance and Risk Management. In K. Dennison (Ed.), Analyzing banking risk (4th ed.). The Word Bank. https://doi.org/10.1596/978-1-4648-1446-4

Widyakto, A., Rinawati, T., & Widyarti, E. T. (2023). The effect of return on assets , return on equity and net interest margin on stock prices in banking companies listed on the Indonesia Stock Exchange for the 2017-2021 period. Jurnal Bisnis Strategi, 32(1), 79–91.

Zuhroh, I., & Veronika, A. (2021). Fundamental Factor Analysis On Banking Stock Price In LQ45. Jurnal Reviu Akuntansi Dan Keuangan, 11(1), 118–137. https://doi.org/10.22219/jrak.v11i1.16115

Zweig, J. (2003). The Intelligent Investor (4th ed.). HarperCollins Publishers (Australia) Pty. Ltd. https://doi.org/10.1017/9781108655620.045