Analysis on The Effect of Bank Health Level Toward The Stock Return of Commercial Bank in ASEAN Countries

Abstract

This study aims to find empirical result to the influence of bank health level on the stock return as measured by the RGEC approach. The total of 28 banks in ASEAN countries as sample, consisting of 10 Indonesian banks, 8 Malaysian banks, and 10 Thailand banks. Data analysis uses regression analysis with Moderated Regression Analysis (MRA) and discrimination test. The result shows Non Performing Loan (NPL) and Good Corporate Governance (GCG) have no significant effect on bank stock return, Return On Assets (ROA) has positive and significant effect, and Capital Adequacy Ratio (CAR) has negative and significant effect. Price to Book Value (PBV) has positive and significant effect on bank stock return, but is only able to moderate ROA on stock return. Discrimination test shows that NPL, GCG, ROA, and CAR among ASEAN countries are significantly different.

Keywords: Non Performing Loan, Good Corporate Governance, Return On Assets, Capital Adequacy Ratio, Price To Book Value, Bank Stock Return.