Return Saham Perbankan di Tengah Dinamika Pasar: Apakah Masih Layak Diperhitungkan?
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Return saham menjadi salah satu pertimbangan utama investor dalam mengambil keputusan investasi di pasar modal dengan tetap memperhatikan tingkat risiko yang dihadapi. Pada sektor perbankan, return saham dapat dipengaruhi oleh beberapa faktor, seperti volume perdagangan saham, risiko pasar, dan kapitalisasi pasar. Penelitian ini bertujuan untuk mengetahui pengaruh ketiga variabel tersebut terhadap return saham perusahaan perbankan yang terdaftar di Bursa Efek Indonesia periode 2022–2024. Penelitian menggunakan pendekatan kuantitatif dengan data sekunder berupa laporan keuangan dan data pasar saham. Sampel ditentukan menggunakan metode purposive sampling dan diperoleh 13 perusahaan perbankan dengan total 39 observasi. Metode analisis yang digunakan adalah regresi data panel, dengan pemilihan model terbaik melalui uji Chow dan uji Hausman yang menghasilkan model Fixed Effect. Hasil penelitian menunjukkan bahwa volume perdagangan saham berpengaruh positif dan tidak signifikan terhadap return saham, risiko pasar berpengaruh positif dan tidak signifikan, sedangkan kapitalisasi pasar berpengaruh positif dan signifikan. Secara bersama-sama, seluruh variabel memiliki pengaruh tidak signifikan terhadap return saham dengan nilai koefisien determinasi sebesar 28.39%.
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