EskaEquatoria Purwaningtiyas; Sujatmika. Abstract

Ka j i a nAk unt a ns i , Vo l ume4 , No mo r1 , J uni2 0 0 9 :6 3 7 7I SSN 1 9 0 7-1 4 4 2

ANALI SI SPENGARUH COSTEFFI CI ENCYRATI O, OVERHEADEFFI CI ENCY DAN DEBTTOEQUI TYRATI O TERHADAP RETURN SAHAM BANK Es kaEquat or i aPur wa ni ng t i y as ; Al umn iUPN“ Ve t e r a n ”Yo gy a k a r t ae q u a t o r i a e s k a @y a h o o . c om

Suj a t mi ka UPNYo gy a k a r t a

Ab s t r ac t Th i sr e s e a r c hwa sc o n d u c t e dt ot e s twh e t h e rt h ev a r i a b l eCo s tEf f i c i e n c yRa t i o( CER) , Ov e r h e a dEf f i c i e n c y( Oh e ) , a n dt h eDe b tEq u i t yRa t i o( DER)e f f e c to nb a n ks t o c kr e t u r n st h a ta r e l i s t e di nI n d o n e s i aS t o c kEx c h a n g e( BEI ) . Th i ss t u d yu s e das a mp l eo f1 8b a n k sf r o m3 1 b a n k ss e l e c t e da st h ep o p u l a t i o no fI n d o n e s i aS t o c kEx c h a n g e( BEI ) . S a mp l eu s i n gp u r p o s i v es a mp l i n gd a t aa n a l y s i su s i n gmu l t i p l er e g r e s s i o na n a l y s i s , wh i c hp r e v i o u s l yp e r f o r me d t h ec l a s s i ca s s u mp t i o nt e s tf i r s t . Th er e s u l t so ft h i ss t u d ys h o wt h a tp a r t i a l l yas i g n i f i c a n t d i f f e r e n c eb e t we e nt h eCo s tEf f i c i e n c yRa t i o( CER)wi t ht h eb a n ks t o c kr e t u r n , wh i l ev a r i a b l e Ov e r h e a dEf f i c i e n c y( Oh e )a n dt h eDe b tEq u i t yRa t i o( DER)h a sn oe f f e c to ns t o c kr e t u r n . Th i sme a n st h a ti ft h eCo s tEf f i c i e n c yRa t i o( CER)i n c r e a s e dt h er e t u r n swi l la l s oi n c r e a s e , wh e r e a sOv e r h e a dEf f i c i e n c y( Oh e )a n dt h eDe b tEq u i t yRa t i o( DER)h a sn o tb e e na b l et o i n f l u e n c et h es t o c kr e t u r n . f i c i e n c yRa t i oBa n ka n db a n ks t o c kr e t u r n s . Ke y wo r d s : Ef

1. PENDAHULUAN De wa s ai n ip e r b a n k a nd iI n d o n e s i ad i h a d a p k a n p a d at i n g k a tp e r s a i n g a ny a n gs e ma k i nk e t a t , o l e h

p e s a t n y ak e ma j u a nt e k n o l o g ii n f o r ma s i , ma k a p e n g e l o l a a nb a n ks e c a r ae f i s i e nme r u p a k a ns y a r a t mu t l a ku n t u kd a p a tt e r u sb e r t a h a n . Umu mn y a

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Ka j i a nAk u n t a n s i , Vo l . 4 , No . 1 , J u n i2 0 0 9 :6 3 7 7

me n g e r a h k a nd a n ama s y a r a k a tma u p u nd a l a m me n y a l u r k a nd a n at e r s e b u tk e p a d ama s y a r a k a ty a n g me mb u t u h k a ns e b a g a imo d a lu s a h a . De n g a n a d a n y ae f i s i e n s ip a d al e mb a g ap e r b a n k a nt e r u t a ma e f i s i e n s ib i a y ama k aa k a nd i p e r o l e ht i n g k a t k e u n t u n g a ny a n go p t i ma l , p e n a mb a h a nj u ml a hd a n a y a n gd i s a l u r k a n , b i a y al e b i hk o mp e t i t i f , p e n i n g k a t a n p e l a y a n a nk e p a d an a s a b a h , k e a ma n a nd a n k e s e h a t a np e r b a n k a ny a n gme n i n g k a t( Ku n c o r od a n Su h a r d j o n o , 2 0 0 2 ) . Ef i s i e n s id a l a md u n i ap e r b a n k a n me r u p a k a ns a l a hs a t uc a r au k u r a nu n t u kme n i l a i k i n e r j ab a n k . Ki n e r j ap e r b a n k a na d a l a hh a s i ly a n gd i c a p a i s u a t ub a n kd a l a mme n g e l o l as u mb e rd a y ay a n ga d a s e c a r ae f e k t i fd a ne f i s i e ng u n ame n c a p a it u j u a ny a n g t e l a hd i t e t a p k a nma n a j e me n . Sa l a hs a t uc a r au k u r a n u n t u kme n i l a ik i n e r j ab a n ky a i t ud e n g a ne f i s i e n s i . Ef i s i e n s ip e r u s a h a a nb u k a nh a n y ame r u p a k a n u k u r a np e r b a n d i n g a na n t a r ao u t p u ty a n gd i h a s i l k a n d e n g a ni n p u t , t e t a p ib a g a i ma n ama n a j e me n me n g e l o l as u mb e r d a y ay a n ga d ad e n g a ns e g a l a k e t e r b a t a s a nu n t u kme n g h a s i l k a no u t p u ty a n go p t i ma l . Pe r u s a h a a nd a p a td i k a t a k a nl e b i he f i s i e n d i b a n d i n g k a np e s a i n g n y aj i k ad e n g a ni n p u ty a n g s a mame n g h a s i l k a no u t p u tl e b i ht i n g g ia t a ud a p a t me n g h a s i l k a no u t p u ty a n gs a mad e n g a ni n p u ty a n g l e b i hr e n d a h . Se t i a po r g a n i s a s imu t l a kp e r l ume me g a n g p r i n s i pe f i s i e n s i . Se c a r as e d e r h a n ap r i n s i pe f i s i e n s i p a d ad a s a r n y ab e r a r t ime n g h i n d a r is e g a l ab e n t u k p e mb o r o s a n . Me n g i n g a tk e n y a t a a nb a h wak e ma mp u a ns u a t uo r g a n i s a s ime n g a d a k a nd a nme mi l i k i s a r a n ad a np r a s a r a n ak e r j ay a n gj u g ad i s e b u t s e b a g a is u mb e rd a n ad a nd a y ay a n gd i p e r l u k a n n y a g u n ame n j a l a n k a nr o d ao r g a n i s a s is e l a l ut e r b a t a s , p a d a h a lt u j u a ny a n gi n g i nd i c a p a it i d a kt e r b a t a s , ma k at i d a kp e r n a ha d ap e mb e n a r a nu n t u kme mb i a r k a np e mb o r o s a nt e r j a d i . Sa l a hs a t up e n y e b a b i n e f i s i e n s i , a n t a r al a i nd i a k i b a t k a no l e ha l o k a s ii n p u ty a n gk u r a n gs e mp u r n ap a d ak e g i a t a no p e r a s i o n a l i s a s ip e r b a n k a n . Se ma k i ne f i s i e ns u a t ub a n k

k a r e n ad e n g a nk e n a i k a nh a r g as a h a mma k ai n v e s t o ra k a nme n d a p a t k a nk e u n t u n g a nd a r i c a p i t a lg a i n. Ki n e r j ap e r u s a h a a n g op u b l i cd a p a td i u k u rd a r i k i n e r j ah a r g as a h a mn y ad il a n t a ib u r s a , k i n e r j a s a h a my a n gb a i ka d a l a hj i k ak e n a i k a nh a r g a n y ad i a t a sa t a up a l i n gt i d a ks a mad e n g a nt i n g k a tk e n a i k a n i n d e k sp a s a r n y a . Da l a mj a n g k ap a n j a n ge mi t e ny a n g d a p a tme n u n j u k k a nk i n e r j ay a n gl e b i he f i s i e na k a n me n d a p a t k a nt a n g g a p a np o s i t i fd a r ii n v e s t o r . Up a y a u p a y ama n a j e me nb a n kme l a k u k a n t i n d a k a ne f i s i e n s id a p a tb e r p e n g a r u hp a d ar e t u r n s a h a mb a n k .Ti n g k a te f i s i e n s ib a n kd a p a td i u k u r d a r iCo s tEf f i c i e n c yRa t i o( CER) , Ov e r h e a dEf f i c i e n c yd a nDe b tt oEq u i t yRa t i o( DER)Da r iu r a i a n l a t a rb e l a k a n gp e n e l i t i a ni n ia k a nme n g a n a l i s i s “ Pe n g a r u hc o s te f f i c i e n c yr a t i o( c e r ) ,o v e r h e a de f f i c i e n c yd a nd e b tt oe q u i t yr a t i o( d e r )t e r h a d a pr e t u r n s a h a mb a n kd ib u r s ae f e ki n d o n e s i a ” . Be d a s a r k a nl a t a rb e l a k a n gy a n gme n j a d i r u mu s a nma s a l a ha d a l a ha p a k a ht e r d a p a tp e n g a r u h a n t a r av a r i a b e l v a r i a b e le f i s i e n s ib a n ky a i t u Co s t Ef f i c i e n c yRa t i o( CER) , Ov e r h e a dEf f i c i e n c y d a n De b tt oEq u i t yRa t i o( DER)t e r h a d a pRe t u r nSa h a m Ba n kGoPu b l i cd iBu r s aEf e kI n d o n e s i a( BEI ) ? Pe n e l i t i a ni n ib e r t u j u a nu n t u kme n g e t a h u ia p a k a h v a r i a b e l v a r i a b e le f i s i e n s ib a n k( Co s tEf f i c i e n c yRa t i o ( CER) ,Ov e r h e a dEf f i c i e n c y d a n De b tt oEq u i t y Ra t i o( DER) )b e r p e n g a r u ht e r h a d a pRe t u r nSa h a m Ba n kGoPu b l i cd iBu r s aEf e kI n d o n e s i a . Ba n kme r u p a k a ny a n gb e r g e r a kd ib i d a n g k e u a n g a n , a r t i n y aa k t i v i t a sp e r b a n k a ns e l a l u b e r k a i t a nd e n g a nk e u a n g a n . Ke g i a t a nu s a h ab i s n i s a d a l a hme n g h i mp u nd a n ad a r ima s y a r a k a tl u a s d a l a mb e n t u ks i mp a n a ny a n gb i a s ad i b e r ii s t i l a h “Fu n d i n g ”.Se d a n g k a nk e g i a t a nb a n ku n t u k me n y a l u r k a nk e mb a l id a n ap a d ama s y a r a k a td a l a m b e n t u kk r e d i ta t a ub i a s ad i s e b u t “Le n d i n g ”. Be r d a s a r k a nUUp e r b a n k a n1 9 9 2d a n1 9 9 8i t u , c a k u p a nk e g i a t a nb a n ku mu mt e l a hme r a mb a hp a d a h a l h a ly a n gd u l u n y ad i a n g g a pb a g i a nd a r is e k t o r

Pur wa ni ng t y a sda nSuj a t mi ka :

An a l i s i sPe n g a r u hCo s tEf f i c i e n c yRa t i o

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e s tr a t es e b a g a ir e s i k op e n g h i mp u n a nd a n ad a n p e n y a l u r a nk r e d i t . Fu n g s ii n t e r me d i a s it e r s e b u tb i s a me n j a d iwa j a rj i k ab a n kme mp e r o l e hd u k u n g a n

s e k u r i t a st e r s e b u tk e mu d i a nd i d a f t a r k a nd ib u r s a e f e k , a g a rn a n t i n y ad a p a td i p e r j u a l b e l i k a nd ib u r s a . Pa d awa k t us e k u r i t a st e r s e b u tmu l a id i p e r d a g a n g k a n

p e me r i n t a hd a l a mb e n t u kd e r e g u l a s id a l a mp e n g e l o l a a nd a n ama s y a r a k a t .

d ib u r s a , d i k a t a k a ns e k u r i t a st e r s e b u td i p e r d a g a n g k a nd ip a s a rs e k u n d e r .

Wu j u dd a r if u n g s is e b a g a if i n a n c i a li n t e r me d i a r y t e r c e r mi nme l a l u ip r o d u kj a s ay a n gd i h a s i l k a n n y a , y a i t u :( 1 )Me n e r i mat i t i p a nu a n gb a i kd id a l a m ma u p u nd il u a rn e g e r i ;( 2 )Me n g h i mp u nd a n ame l a l u i g i r o , t a b u n g a nd a nd e p o s i t o ;( 3 )Me l a k s a n a k a nj a s a p e n g a ma n a nb a r a n gb e r h a r g ame l a l u i s a v ed e p o s i t b o x;( 4 )Me n y a l u r k a nd a n ame l a l u ip e mb e r i a nk r e d i t ; d a n( 5 )Me n j e mb a t a n ik e s e n j a n g a nwa k t u , t e r u t a ma d a l a mh a lt r a n s a k s iv a l u t aa s i n gd a nl a l ul i n t a s d e v i s a .

Pa s arMo da l Pa s a rmo d a lme r u p a k a ns a l a hs a t uwa h a n a y a n gd a p a td i ma n f a a t k a nu n t u kmo b i l i s a s id a n a , b a i k d a r id a l a mma u p u nl u a rn e g e r i . Ke b e r a d a a np a s a r mo d a lme mp u n y a ib a n y a kp i l i h a ns u mb e rd a n a ( k h u s u s n y ad a n aj a n g k ap e n d e k ) , b a g ip e r u s a h a a n h a li n ib e r a r t ik e p u t u s a np e mb e l a j a r a nd a p a tme n j a d i s e ma k i nb e r v a r i a s i , k e p u t u s a nl a i n n y aa d a l a h k e p u t u s a ni n v e s t a s id a nk e p u t u s a nd i v i d e n .

Ne r ac a Ne r a c aa d a l a hd a f t a rh a r t ay a n gd i mi l i k id a n h u t a n gy a n gd i t a n g g u n gb a n kp a d as a a tt e r t e n t u . Se l i s i ha n t a r aj u ml a hh a r t ad a nh u t a n gme r u p a k a n h a r t ab e r s i hp e me g a n gs a h a mb a n k , y a n gj u g a d i s e b u t“s h a r e h o l d e r se q u i t y ”a t a u “n e t wo r t h ” . Da l a m p e mb u k u a nn e r a c a , h a r t ab a n kd i t e mp a t k a nd a l a m s i s ia k t i v a , s e d a n g k a nh u t a n gd a nh a r t ab e r s i h p e me g a n gs a h a md i t e mp a t k a np a d as i s ip a s i v a ( Si s wa n t oSu t o j o , 1 9 9 7 ) . Se c a r ar i n g k a s , s i s ia k t i v ab a n kme n u r u t Lu k ma nDe n d a wi j a y a , 2 0 0 1me n g g a mb a r k a np o l a p e n g a l o k a s i a nd a n ab a n k . Si s ip a s i v ad a l a mn e r a c a me n g g a mb a r k a nk e wa j i b a nb a n ky a n gb e r u p ak l a i m p i h a kk e t i g aa t a up i h a kl a i n n y aa t a sk e k a y a a nb a n k y a n gd i n y a t a k a nd a l a mb e n t u kr e k e n i n gg i r o , d e p o s i t ob e r j a n g k a , t a b u n g a nd a ni n s t r u me n i n s t r u me nu t a n ga t a uk e wa j i b a nb a n kl a i n n y a . Se l a i n i t u , mo d a lb a n kme n g g a mb a r k a nn i l a ib u k up e mi l i k s a h a mb a n k .

Se me n t a r ai t ub a g ii n v e s t o r , p a s a rmo d a l me r u p a k a nwa h a n ay a n gd a p a td i ma n f a a t k a nu n t u k Se d a n g k a np o s p o sn e r a c as e b u a hb a n ks e c a r a me n g i n v e s t a s i k a nd a n a n y a( d a l a m f i n a n c i a la s s e t s) . l e b i hr i n c id i k l a s i f i k a s i k a ns e b a g a ib e r i k u t: Ke h a d i r a np a s a rmo d a la k a nme n a mb a hp i l i h a ni n 1 . Si s ia k t i v a v e s t o rs e h i n g g ak e s e mp a t a nu n t u kme n g o p t i ma l k a n a . Ea r n i n ga s s e t( a k t i v ap r o d u k t i f ) , y a n gd a p a t u t i l i t i e sma s i n g ma s i n gi n v e s t o rs e ma k i nb e s a r . b e r u p ak r e d i t , p e n e mp a t a np a d ab a n kl a i n , Se d a n g k a np e r a n a np a s a rmo d a lme n u r u t s u r a tb e r h a r g ad a np e n y e r t a a n . J o g i y a n t o( 1 9 9 8 )a d a l a hp a s a rmo d a lme r u p a k a n b . No ne a r n i n ga s s e t( a k t i v at i d a kp r o d u k t i f ) , s a r a n ap e r u s a h a a nu n t u kme n i n g k a t k a nk e b u t u h a n y a n gb e r u p ak a s , g i r op a d aBa n kI n d o n e d a n aj a n g k ap a n j a n gd e n g a nme n j u a la t a ume n e r b i t s i a , a k t i v at e t a ps e r t ar u p a r u p aa k t i v a . k a no b l i g a s i . Sa h a mme r u p a k a nb u k t ik e p e mi l i k a n c . Pe n y i s i h a nPe n g h a p u s a nAk t i v aPr o d u k t i f s e b a g i a nd a r ip e r u s a h a a n . Ob l i g a s ime r u p a k a ns u a t u ( PPA)a d a l a ha k u nc a d a n g a nd a l a mv a l u t a k o n t r a ky a n gme n g h a r u s k a np e mi n j a mu n t u k r u p i a hd a na s i n gy a n gd i b e n t u ku n t u k me mb i a y a ik e mb a l ip o k o kp i n j a ma nd i t a mb a h me n a mp u n gr e s i k ok e r u g i a ny a n gmu n g k i n d e n g a nb u n g ak u r u nwa k t ut e r t e n t uy a n gt e l a h

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Ka j i a nAk u n t a n s i , Vo l . 4 , No . 1 , J u n i2 0 0 9 :6 3 7 7 mo n e y , s u r a tb e r h a r g ay a n gd i t e r b i t k a ns e r t a p i n j a ma ns u b o r d i n a s i .

b . Ke wa j i b a nl a i n n y a , y a i t us e mu ak e wa j i b a n b a n ky a n gs e t i a pwa k t ud a p a td i t a g i ho l e h p e mi l i k n y ad a nh a r u ss e g e r ad i b a y a ro l e h b a n ky a n gb e r s a n g k u t a n . Pa d ap o si n i d i ma s u k a np u l ak i r i ma nu a n g , k u p o ny a n g s u d a hj a t u ht e mp od a ns e mu ak e wa j i b a n y a n gb e r j a n g k awa k t uk u r a n gd a r i1 5h a r i . c . Ru p a r u p ap a s i v ab e r u p as a l d or e k e n i n g p a s i v al a i n n y a , y a n gt i d a kd a p a td i ma s u k a n a t a ud i g o l o n g k a nk ed a l a ms a l a hs a t ud a r i p o sn e r a c a , mi s a l n y as e l i s i hk u r sd a n r e k e n i n g r e k e n i n gy a n gd i b l o k i rk a r e n as u a t u p e r k a r a . Da l a mp o si n id i ma s u k k a np u l ah a s i l k o mp e n s a s i(s e to f f)a n t a r as a l d od e b e td a n s a l d ok r e d i tr e k e n i n ga n t a rk a n t o r , t e r ma s u k k a n t o r n y ad il u a rn e g e r i , s e p a n j a n gb a n k y a n gb e r s a n g k u t a nb e r b a d a nh u k u mI n d o n e s i a . d . Ek u i t a sy a n gt e r d i r id a r imo d a ld i s e t o r ( t a mb a h a nmo d a ld i s e t o r ) , a g i o / d i s a g i o , c a d a n g a nd a nl a b ad i t a h a n . Ag i o / d i s a g i o me r u p a k a ns e l i s i hl e b i h( k u r a n g )s e t o r a n mo d a ly a n gd i t e r i mab a n ks e b a g a ia k i b a t h a r g as a h a my a n gme l e b i h in i l a in o mi n a l n y a . Ca d a n g a ny a n gd i b e n t u kb e r a s a ld a r i p e n y i s i h a nl a b ab e r s i hs e s u a ik e p u t u s a n p e mi l i ka t a uRa p a tUmu mPe me g a n g Sa h a m. Se d a n g k a nl a b ad i t a h a na d a l a hs i s a l a b a / ( r u g i )t a h u n t a h u nb u k us e b e l u mn y a y a n gb e l u md i b a g i k a nd a na t a ud i p i n d a h b u k u k a nk er e k e n i n gl a i nd a nd i t a mb a hl a b a / ( r u g i )t a h u nb e r j a l a n .

La ba/Rugi 1 . Pe n d a p a t a nb a n k , t e r d i r id a r i: a . Pe n d a p a t a nb u n g a , y a n gt e r d i r id a r i p e n d a p a t a nb u n g ad a np e n d a p a t a nl a i ny a n g b e r k a i t a nl a n g s u n gd e n g a np e mb e r i a nk r e d i t

c . Pe n d a p a t a nn o no p e r a s i o n a l , y a i t up e n d a p a t a ny a n gb e r a s a ld a r ik e g i a t a ny a n gt i d a k b e r h u b u n g a nl a n g s u n gd e n g a nk e g i a t a n u s a h ab a n k , mi s a l n y ap e n d a p a t a nd a r i p e n j u a l a na k t i v at e t a p . 2 . Be b a nb a n k , t e r d i r id a r i: a . Be b a nb u n g a , y a i t ub e b a nb u n g ad a nb e b a n l a i ny a n gd i k e l u a r k a ns e c a r al a n g s u n gd a l a m r a n g k ap e n g h i mp u n a nd a n at e r ma s u k p e mb e r i a nh a d i a h . b . Be b a no p e r a s i o n a ll a i n n y a , y a i t ub e b a ny a n g b e r u p ab e b a nb u k a nb u n g ay a n gt e r d i r id a r i b e b a na d mi n i s t r a s id a nu mu m, b e b a n p e r s o n a l i a , p e n y i s i h a nd a np e n u r u n a na t a s a k t i v ap r o d u k t i fs e r t ab e b a no p e r a s i o n a ln o n b u n g al a i n n y a . Be b a no p e r a s i o n a ll a i n n y a d i s e b u tp u l as e b a g a i o v e r h e a dc o s t . c . Be b a nn o no p e r a s i o n a l , y a i t ub e b a ny a n g d i a k i b a t k a nd a r ik e g i a t a ny a n gt i d a k b e r h u b u n g a nl a n g s u n gd e n g a nk e g i a t a n u s a h ab a n k , mi s a l n y ar u g id a r ip e n j u a l a n a k t i v at e t a p , a s u r a n s i , p e n e l i t i a nd a n p e n g e mb a n g a n .

Sa ham Pe r u s a h a a nd a p a tme n g g u n a k a nk e l e b i h a n d a n a n y au n t u kme mb e l ie f e ka t a us u r a tb e r h a r g a ( s e c u r i t i e s) . Se c u r i t i e sa d a l a hs e c a r i kk e r t a sy a n g me n u n j u k k a nh a kp e mo d a l( p e mi l i kk e r t a st e r s e b u t ) u n t u kme mp e r o l e hb a g i a nd a r ip r o s p e ka t a u k e k a y a a nd a r io r g a n i s a s iy a n gme n e r b i t k a ns a h a m t e r s e b u td a nb e r b a g a ik o n d i s iy a n gme mu n g k i n k a n p e mo d a lt e r s e b u tme n j a l a n k a nh a k n y a . Ap a b i l a s e k u r i t a si n id a p a td i p e r j u a l b e l i k a nd a nme r u p a k a n i n s t r u me nk e u a n g a ny a n gb e r j a n g k ap a n j a n g , ma k a p e n e r b i t a n n y ad i l a k u k a nu n t u kme n j a g al i k u i d i t a s a t a uu n t u kme n d a p a t k a np e n d a p a t a nd a r id a n ay a n g d i t a n a mk a nd a l a me f e kt e r s e b u t . Sa h a ma d a l a ht a n d ap e n y e r t a a na t a uk e p e mi l i k a ns e s e o r a n ga t a ub a d a nd a l a ms u a t up e r u s a h a a n

Pur wa ni ng t y a sda nSuj a t mi ka :

An a l i s i sPe n g a r u hCo s tEf f i c i e n c yRa t i o

6 7

k e u n t u n g a ny a n gd i p e r o l e hp e r u s a h a a nt e r s e b u t . Se d a n g k a n Ca p i t a lGa i na d a l a hs e l i s i ha n t a r ah a r g a b e l is a h a md e n g a nh a r g aj u a ls a h a m.

y a n gd i p e r o l e hme l a l u ip e mb a y a r a ny a n gb e r s i f a t p e r i o d i kb e r u p ad i v i d e ns e b a g a ih a s i lk i n e r j af u n d a me n t a lp e r u s a h a a n . Se d a n g k a n c a p i t a lg a i nb e r u p a

Har g aSa ham

k e u n t u n g a ny a n gd i t e r i mak a r e n as e l i s i ha n t a r ah a r g a j u a ld a nh a r g ab e l is a h a m. Be s a r n y ac a p i t a lg a i ns u a t u s a h a ma k a np o s i t i f , b i l a ma n ah a r g aj u a ld a r is a h a m

Me n u r u tBu k uPa n d u a nI n v e s t a s id iPa s a rMo d a l I n d o n e s i a( 2 0 0 3 ) , Sa h a ma d a l a hs e r t i f i k a ty a n g me n u n j u k k a nb u k t ik e p e mi l i k a ns u a t up e r u s a h a a n , d a np e me g a n gs a h a mme mi l i k ih a kk l a i ma t a s p e n g h a s i l a nd a na k t i v ap e r u s a h a a n . Ha r g as e b u a h s a h a ms a n g a td i p e n g a r u h io l e hh u k u mp e r mi n t a a n d a np e n a wa r a n , h a r g as u a t us a h a ma k a nc e n d e r u n g n a i kb i l as u a t us a h a mme n g a l a mik e l e b i h a n p e r mi n t a a nd a nc e n d e r u n gt u r u nj i k at e r j a d ik e l e b i h a n p e n a wa r a n . Me n u r u tMa u r i c eKe n d a l l , h a r g as a h a m t i d a kb i s ad i p r e d i k s ia t a ume mp u n y a ip o l at i d a k t e n t u , i ab e r g e r a kme n g i k u t i r a n d o mwa l ks e h i n g g a p e mo d a lh a r u sp u a sd e n g a nn o r ma lr e t u r nd e n g a n t i n g k a tk e u n t u n g a ny a n gd i b e r i k a no l e hme k a n i s me p a s a r( Hu s n a n , 1 9 9 4 ) . Ab n o r ma lr e t u r nh a n y a mu n g k i nt e r j a d ib i l aa d as e s u a t uy a n gs a l a hd a l a m e f i s i e n s ip a s a r , k e u n t u n g a na b n o r ma lh a n y ab i s a d i p e r o l e hd a r ip e r ma i n a ny a n gt i d a kf a i r . J i k at e r j a d ip e r b a i k a np r e s t a s ik o n d i s if u n d a me n t a lp e r u s a h a a n( k i n e r j ak e u a n g a nd a no p e r a s i o n a l p e r u s a h a a n ) , b i a s a n y ad i i k u t id e n g a nk e n a i k a n h a r g as a h a md il a n t a ib u r s a . Ha li n id i s e b a b k a n k a r e n ai n v e s t o rme mp u n y a ie k s p e k t a s iy a n gl e b i h b e s a rd a l a mj a n g k ap a n j a n g . I n f o r ma s it e n t a n g p e r b a i k a na t a up e n u r u n a np r e s t a s ib i a s a n y a d i k e t a h u is e t e l a hl a p o r a nk e u a n g a nd i k e l u a r k a n . Ak s ik o r p o r a s is e p e r t ip e mb a g i a n d i v i d e n , s t o c k s p l i t ,r i g h ti s s u ed a nl a i n l a i na k a nme mp e n g a r u h i j u g ap e r g e r a k a nh a r g as a h a m. Di s a mp i n gi t uf a k t o r l a i ny a n gme mp e n g a r u h ip e r g e r a k a nh a r g as a h a m a d a l a hf a k t o rma k r oe k o n o mi , p o l i t i k , k e a ma n a n , s e n t i me np a s a r , p e n g a r u hp a s a rs a h a ms e c a r a k e s e l u r u h a n , a t a uk e j a d i a nl a i ny a n gd i a n g g a p me mp e n g a r u h ik i n e r j ae mi t e nt e r s e b u t( Wa h y u d i 2 0 0 3 ) .

y a n gd i mi l i k il e b i ht i n g g id a r ih a r g ab e l i n y a . Ad aa n g g a p a nb a h wad e n g a nme n g g u n a k a n b e r a g a mj e n i sa n a l i s i st e k n i k a ly a n gd i k o mb i n a s i k a n s a t us a mal a i nd i s e r t a ij u g ad e n g a na n a l i s i sf u n d a me n t a ly a n gp a l i n g u pt od a t ea k a nme n g h a s i l k a n k e p u t u s a ny a n gt e p a ta t a us e t i d a k n y ame n d e k a t i . Na mu nk e n y a t a a n n y ap e r g e r a k a np a s a ry a n gs e l a l u d i n a mi st e t a ps u l i td i p r e d i k s is e c a r at e p a t . Ol e h k a r e n ai t umo d e l mo d e la n a l i s i st e r s e b u th a r u s d i t e mp a t k a ns e b a g a if u n g s ia l a tb a n t up e n g a mb i l a n k e p u t u s a na t a u a n a l y t i c a lt o o l s( Ha r y a n t o2 0 0 4 ) . Me n u r u tAd e n s o( 1 9 9 7 )k i n e r j as u a t us a h a m d a p a td i g u n a k a ns e b a g a is a l a hs a t uc a r au n t u ka l a t p e n g u k u re f i s i e n s ip e r u s a h a a n . J i k ah a r g as a h a m me r e f l e k s i k a ns e l u r u hi n f o r ma s ime n g e n a ip e r u s a h a a nd ima s al a l u , s e k a r a n gd a ny a n ga k a nd a t a n g , ma k ak e n a i k a nh a r g as a h a md a p a td i a n g g a ps e b a g a i i n d i k a s ip e r u s a h a a ny a n ge f i s i e n . Pe n g e r t i a n r e t u r ns a h a md a l a mp e n e l i t i a ni n i s a mad e n g a n c a p i t a lg a i n , k a r e n ab e l u ma d a p e mb a g i a nd i v i d e n.Re t u r ns a h a my a n gme r u p a k a n p e r u b a h a nh a r g as a h a ma k a nd i g u n a k a ns e b a g a i v a r i a b e ld e p e n d e nd a l a mp e n e l i t i a ni n i , d i h i t u n g d e n g a nc a r ame n j u ml a h k a np e r u b a h a nh a r g as u a t u s a h a ms e c a r ah a r i a np a d ap e r i o d ep e n g a ma t a n . Re t u r n s a h a mt a h u n a nme r u p a k a nr a t a r a t ad a r ir e t u r n s a h a mh a r i a ns e l a mas e t a h u n . Pe r h i t u n g a nRe t u r nSa h a md i r u mu s k a ns e b a g a i b e r i k u t:

HSt

:Ha r g as a h a mh a r ik et

r g as a h a mh a r ik et–1 HSt 1 :Ha

6 8

Ka j i a nAk u n t a n s i , Vo l . 4 , No . 1 , J u n i2 0 0 9 :6 3 7 7

y a n gd i p e r g u n a k a np e r u s a h a a nl a i nu n t u kme n g h a s i l k a no u t p u ty a n gs a ma , a t a ume n g g u n a k a nu n i t i n p u ty a n gs a ma , d a p a tme n g h a s i l k a nj u ml a ho u t p u ty a n gl e b i hb e s a r( Pe r mo n od a nDa r ma wa n2 0 0 0 : 2 ) Ef i s i e n s ij u g ab i s ad i a r t i k a ns e b a g a ir a s i oa n t a r a o u t p u td e n g a ni n p u t . Ad at i g af a k t o ry a n gme n y e b a b k a ne f i s i e n s i , y a i t u( 1 )a p a b i l ad e n g a ni n p u ty a n g s a mad a p a tme n g h a s i l k a no u t p u ty a n gl e b i hb e s a r , ( 2 )i n p u ty a n gl e b i hk e c i ld a p a tme n g h a s i l k a no u p u t y a n gs a ma , d a n( 3 )d e n g a ni n p u ty a n gl e b i hb e s a r d a p a tme n g h a s i l k a no u t p u ty a n gl e b i hb e s a rl a g i . ( Gh o f u rd a l a mAt ma wa r d h a n a2 0 0 6 : 4 0 ) .

Ra s i o r a s i oEf i s i e ns i Un t u kme n g u k u re f i s i e n s is u a t ub a n kd a p a t d i n i l a ime l a l u ib e b e r a p ar a s i oe f i s i e n s ib a n ky a i t u ( Co s tEf f i c i e n c y Ra t i o( CER) ,Ov e r h e a dEf f i c i e n c y d a nDe b tt oEq u i t yRa t i o( DER) ) . 1 . Co s tEf f i c i e n c yRa t i o

( CER)

Co s tEf f i c i e n c yRa t i o a d a l a hp e r b a n d i n g a n a n t a r ab i a y ao p e r a s i o n a ll a i n n y ad e n g a n Ne t I n t e r e s tI n c o me d i t a mb a hd e n g a np e n d a p a t a n o p e r a s i o n a ll a i n n y ad a nd a p a td i r u mu s k a n :

Ra s i oi n iu n t u kme n g u k u rs e b e r a p ab e s a rb i a y a o p e r a s i o n a ll a i n n y ame mb e r i k a nk o n t r i b u s i t e r h a d a pp e n d a p a t a nb u n g ab e r s i hd i t a mb a h d e n g a np e n d a p a t a no p e r a s i o n a ll a i n n y a . Se ma k i nk e c i lr a s i oi n i , ma k as e b u a hb a n k s e ma k i ne f i s i e nt e r u t a mad i t i n j a ud a r ip e n g e l u a r a nb i a y ao p e r a s i o n a ll a i n n y a , y a n gt e r d i r id a r i b i a y au mu md a nb i a y aa d mi n i s t r a s i , b i a y a t e n a g ak e r j ad a nPe n y i s i h a nPe n g h a p u s a n Ak t i v aPr o d u k t i f . Da l a mb i a y au mu md a na d mi n i s t r a s i , a n t a r al a i nt e r ma s u kb i a y at e l e p o n , l i s t r i k , s e wag e d u n g / k a n t o r , k e n d a r a a n ,

Ra s i oi n ime n u n j u k k a ne f i s i e n s ib a n kd a l a m me n g h a s i l k a np e n d a p a t a no p e r a s i o n a ll a i n n y a d e n g a ns u mb e rd a y ay a n ga d a . Pe n d a p a t a n o p e r a s i o n a ll a i n n y aa d a l a hp e n d a p a t a nd il u a r p e n d a p a t a nb u n g ak r e d i tb a n ka t a uy a n gl e b i hd i k e n a l s e b a g a iFe eBa s e dI n c o me .Fe eBa s e dI n c o me me r u p a k a ns a l a hs a t ua l t e r n a t i fb a g ib a n ku n t u k me n g h a s i l k a nk e u n t u n g a nme n g i n g a ts e ma k i n t i p i s n y ama r g i n a n t a r ab u n g ap i n j a ma nd a nb u n g a d a n a . De n g a ns e ma k i nt i n g g it u n t u t a nk o n s u me n a k a np r o d u kp e r b a n k a n , p e s a t n y ap e r k e mb a n g a n t e k n o l o g ii n f o r ma s i , ma k ap e l u a n gu n t u kme mp e r o l e hk e u n t u n g a nd a r i Fe eBa s e dI n c o meme n j a d i b e s a r . Se l a i np r o d u ky a n gb e r a g a md a nk o mp e t i t i f , s u mb e rd a y ama n u s i ay a n gt e r a mp i ld a ns i s t e m y a n gh a n d a lme n j a d is y a r a tu t a mak e b e r h a s i l a n me ma n f a a t k a np e l u a n gt e r s e b u t . Ko mp o n e np e n d a p a t a no p e r a s i o n a ll a i n n y a( Fe e Ba s e dI n c o me)t e r d i r id a r ip r o v i s id a nk o mi s in o n k r e d i t , p e n d a p a t a nt r a n s f e rd a ni n k a s o , p e n d a p a t a ns e was a f ed e p o s i tb o xs e r t a p e n d a p a t a nj a s ab a n kl a i n n y ad i l u a rp e n d a p a t a n s e h u b u n g a nd e n g a np e mb e r i a nk r e d i t . Ko mp o n e n Ov e r h e a dCo s tt e r d i r id a r ib i a y at e n a g a k e r j ad a nt u n j a n g a np e g a wa is e r t ab i a y a a d mi n i s t r a s id a nu mu m. Da t ay a n gd i g u n a k a n u n t u kOv e r h e a dEf f i c i e n c yd i p e r o l e hd a r iLa p o r a n La b a Ru g i . ( Wa r d o y o , 2 0 0 7 ) 3 . De b tEq u i t yRa s i o ( DER) DERa d a l a hr a s i oy a n gme n u n j u k k a np e r b a n d i n g a nt o t a lh u t a n gd e n g a nmo d a ls e n d i r i . Se ma k i nt i n g g ir a s i oi n is e ma k i nb e s a rr i s i k o y a n gd i h a d a p i , d a ni n v e s t o ra k a nme mi n t a t i n g k a tk e u n t u n g a ny a n gt i n g g ip u l a . Ra s i oy a n g t i n g g ime n u n j u k k a np r o p o r s imo d a ls e n d i r iy a n g r e n d a hu n t u kme mb i a y a ia k t i v ad a nr e t u r ns a h a m y a n gme n i n g k a td i a k i b a t k a no l e ht i n g k a tb u n g a y a n gt i n g g ip u l a . ( He n n yN, 2 0 0 7 )

Pur wa ni ng t y a sda nSuj a t mi ka : Ov e r h e a dEf f i c i e n c y , Op p o r t u n i t yCo s to fCa p i t a lwi t h S y s t e ma t i cRi s k )d a nr e t u r ns a h a mb a n k )p e r i o d e t a h u n2 0 0 6t e r h a d a p2 5b a n ks e b a g a is a mp l ed a r i s e j u ml a hp o p u l a s iBa n ky a n gt e r d a f t a rd iBEJ ( wa r d o y o @s t a f f . g u n a d a r ma . a c . i d . Te k n i ka n a l i s i sd a t ay a n gd i g u n a k a na d a l a h a n a l i s i sr e g r e s il i n i e rb e r g a n d a . Be l u ma d ah a s i ly a n g d id a p a td a r ip e n e l i t i a ny a n gd i l a k u k a nwa r d o y o . ( wa r d o y o @s t a f f . g u n a d a r ma . a c . i d . ) Be r d a s a r k a nk e r a n g k ap e mi k i r a n , ma k a r u mu s a nh i p o t e s i sa d a l a h :Te r d a p a tp e n g a r u ha n t a r a v a r i a b e l v a r i a b e le f i s i e n s ib a n ky a i t u Co s tEf f i c i e n c y Ra t i o( CER) ,Ov e r h e a dEf f i c i e n c y ( OHE)d a n De b t t oEq u i t yRa t i o( DER)t e r h a d a pr e t u r ns a h a mb a n k y a n gt e r d a f t a rd iBu r s aEf e kI n d o n e s i a( BEI ) .

An a l i s i sPe n g a r u hCo s tEf f i c i e n c yRa t i o

6 9

2 . Va r i a b e lI n d e p e n d e n( Be b a s ) a . Co s tEf f i c i e n c yRa t i o ( CER)a d a l a hu n t u k me n g u k u rs e b e r a p ab e s a rb i a y ao p e r a s i o n a l l a i n n y ame mb e r i k a nk o n t r i b u s it e r h a d a p p e n d a p a t a nb u n g ab e r s i hd i t a mb a hd e n g a n p e n d a p a t a no p e r a s i o n a ll a i n n y a .

b . Ov e r h e a dEf f i c i e n c y ( OHE)a d a l a hu n t u k me n u n j u k k a ne f i s i e n s ib a n kd a l a mme n g h a s i l k a np e n d a p a t a no p e r a s i o n a ll a i n n y a d e n g a ns u mb e rd a y ay a n ga d a .

2. METODEPENELI TI AN Po p u l a s ip e n e l i t i a ni n ia d a l a hb a n ky a n gt e r d a f t a r d iBEIp e r i o d et a h u n2 0 0 6 2 0 0 8y a n gb e r j u ml a h3 1 b a n k . Pe r t i mb a n g a nme mi l i hp o p u l a s ib a n kk a r e n a b a n ka d a l a hp e r u s a h a a ny a n gp a l i n gr e n t a nt e r h a d a p p e r u b a h a ne k o n o mid a np e r u b a h a ns u k ub u n g as e r t a p e r u b a h a nk u r sma t au a n gy a n ga k a nb e r p e n g a r u h t e r h a d a pl i k u i d i t a sb a n k . Te k n i kp e n g a mb i l a ns a mp e ld a l a mp e n e l i t i a ni n i a d a l a hd e n g a nme n g g u n a k a n p u r p o s i v es a mp l i n g s e s u a ik r i t e r i ap e n e l i t i a ny a n gd i t e n t u k a n , y a i t u : 1 . Emi t e ny a n gd i t e l i t ia d a l a hb a n ky a n gt e l a h p u b l i cd a nt e r c a t a td iBu r s aEf e kI n d o n e s i a s e l a map e r i o d e2 0 0 6 2 0 0 8 .

g o

2 . Emi t e nt e r s e b u tme mp u b l i k a s i k a nl a p o r a n k e u a n g a nt a h u n a ny a n gt e l a hd ia u d i ts e c a r a l e n g k a pp e r3 1De s e mb e rs e l a map e r i o d e2 0 0 6 2 0 0 8 .

c . De b tt oEq u i t yRa t i o( DER)a d a l a hr a s i oy a n g me n u n j u k k a np e r b a n d i n g a nt o t a lh u t a n g d e n g a nmo d a ls e n d i r i .

Te kni kAna l i s i sDa t a Da t ad i a n a l i s i sd e n g a nt e k n i kr e g r e s il i n i e r b e r g a n d a , y a i t ut e k n i ka n a l i s i sy a n gme n j e l a s k a n p e n g a r u ha n t a r av a r i a b e ld e p e n d e nd e n g a nv a r i a b e l i n d e p e n d e n . Te k n i ki n id i g u n a k a nu n t u kme n g e t a h u i a p a k a hv a r i a b e lb e b a sy a i t u Co s tEf f i c i e n c yRa t i o ( CER) ,Ov e r h e a dEf f e c i e n c y ( OHE) ,De b tt oEq u i t y Ra t i o( DER)me mp e n g a r u h ir e t u r ns a h a mb a n k ( v a r i a b e lt e r i k a t ) . Hu b u n g a na n t a r aVa r i a b e l v a r i a b e l Ef i s i e n s id e n g a nRe t u r nSa h a mBa n kd i r u mu s k a n s e b a g a ib e r i k u t:

3 . Te r d a p a td a t ay a n gl e n g k a p( d a t ar e t u r ns a h a m) y a n gd i l a p o r k a np a d aa k h i rp e r i o d ea k u n t a n s i . Be r d a s a r k a nk r i t e r i ad ia t a sj u ml a hs a mp e ly a n g d i p e r o l e hd a l a mp e n e l i t i a ni n ib e r j u ml a h1 8b a n k . Da r ij u ml a hs a mp e li n id i h a r a p a nd a p a tme wa k i l i

Ke t e r a n g a n: CER=

Co s tEf f i c i e n c yRa t i o ,

7 0

Ka j i a nAk u n t a n s i , Vo l . 4 , No . 1 , J u n i2 0 0 9 :6 3 7 7

Uj iAs ums iKl a s i k Se b e l u mme l a k u k a np e n g u j i a nt e r h a d a p p e r s a ma a nr e g r e s ib e r g a n d at e r l e b i hd a h u l u d i l a k u k a np e n g u j i a na s u ms ik l a s i k . Pe n g u j i a ni n i d i l a k u k a nu n t u kme n g e t a h u ib a h wap e n g g u n a a n mo d e lr e g r e s ib e r g a n d ad a l a mme n g u j ih i p o t e s i s h a r u s l a hb e b a sd a r ib i a sa t a ume n g h i n d a r i k e mu n g k i n a nt e r j a d i n y ap e n y i mp a n g a n p e n y i mp a n g a nr e g r e s ip a d ad a t ap e n e l i t i a n . ( Se mb i r i n g 2 0 0 5 ) .

1. Uj iMul t i ko l i ne ar i t a s Uj iMu l t i k o l i n e a r i t a sa d a l a hs a l a hs a t ua l a tu j i a s u ms ir e g r e s iy a n gb e r t u j u a nu n t u kme n g u j ia p a k a h p a d amo d e lr e g r e s id i t e mu k a na d a n y ak o r e l a s ia n t a r v a r i a b e li n d e p e n d e n . J i k at e r j a d ik o r e l a s ima k a d i n a ma k a nt e r d a p a tp r o b l e mmu l t i k o l i n e a r i t a s . Ar t i n y as a l a hs a t uv a r i a b e ly a n gb e r k o r e l a s ia k a n d i h i l a n g k a n . De t e k s ia d a n y amu l t i k o l i n e a r i t a sd a p a td i l i h a t p a d ah a s i lCo l l i n e a r i t yS t a t i s t i c sp a d at a b e l Co e f f i c i e n t s. Pa d a Co l l i n e a r i t yS t a t i s t i c st e r s e b u tt e r d a p a t n i l a iVa r i a n c eI n f l a t i o nFa c t o r( VI F) d a nTo l e r a n c e. J i k an i l a iVI Fa d ad is e k i t a ra n g k a1d a nn i l a iTo l e r a n c eme n d e k a t ia n g k a1 , ma k at i d a kt e r j a d i mu l t i k o l i n i e a r i t a s. Mo d e lr e g r e s iy a n gb a i ks e h a r u s n y at i d a kt e r j a d i k o r e l a s id i a n t a r av a r i a b e li n d e p e n d e n . Te r d a p a t b e r ma c a mc a r au n t u kme n g h i l a n g k a ng e j a l a mu l t i k o l i n e a r i t a sd a l a ms u a t umo d e lr e g r e s ia n t a r a l a i nd e n g a nme n a mb a hd a t as a mp l ea t a ume n g h i l a n g k a ns a l a hs a t ua t a ub e b e r a p av a r i a b e ly a n g me mp u n y a in i l a ik o r e l a s iy a n gt i n g g i .

2.Uj iHe t e r o s ke da s t i s i t a s Uj ih e t e r o s k e d a s t i s i t a sb e r t u j u a nu n t u kme n g u j i a p a k a hd a l a mmo d e lr e g r e s it e r j a d ik e t i d a k s a ma a n v a r i a n sd a r ir e s i d u a ld a r is a t up e n g a ma t a nk e p e n g a ma t a ny a n gl a i n . J i k av a r i a n sd a r ir e s i d u a ld a r i

g e l o mb a n g , me l e b a rk e mu d i a nme n y e mp i t ) , s e r t a t e r s e b a rb a i kd ia t a sma u p u nd ib a wa ha n g k a0p a d a s u mb uY, ma k at i d a kt e r j a d ih e t e r o s k e d a s t i s i t a s . Mo d e lr e g r e s iy a n gb a i ks e h a r u s n y at i d a kt e r j a d i h e t e r o s k e d a s t i s i t a s , s e h i n g g amo d e lr e g r e s il a y a k d i p a k a iu n t u kme mp r e d i k s iv a r i a b e ld e p e n d e n b e r d a s a r k a nma s u k a nv a r i a b e li n d e p e n d e n n y a .

4.Uj iNo r ma l i t a s Uj iNo r ma l i t a sb e r t u j u a nu n t u kme n g u j ia p a k a h d a l a ms e b u a hmo d e lr e g r e s i , v a r i a b e ld e p e n d e n , v a r i a b e li n d e p e n d e na t a uk e d u a n y ame mp u n y a i d i s t r i b u s in o r ma la t a ut i d a k . J i k ar e s i d u a lb e r a s a ld a r id i s t r i b u s in o r ma l , ma k a n i l a i n i l a is e b a r a nd a t ap a d ag r a f i kNo r ma lPPPl o t o fRe g r e s s i o nSt a n d a r d i z e dRe s i d u a la k a nt e r l e t a k d i s e k i t a rg a r i sd i a g o n a la t a ut i d a kt e r p e n c a rj a u hd a r i g a r i sd i a g o n a l . Mo d e lr e g r e s iy a n gb a i ka d a l a h d i s t r i b u s id a t an o r ma la t a ume n d e k a t in o r ma l .

5.Uj iAut okor e l a s i . Uj iAu t o k o r e l a s ib e r t u j u a nu n t u kme n g u j ia p a k a h d a l a mmo d e lr e g r e s ia d ak o r e l a s ia n t a r ak e s a l a h a n p e n g g a n g g up a d ap e r i o d etd e n g a nk e s a l a h a np a d a p e r i o d et 1( p e r i o d es e b e l u mn y a ) . J i k at e r j a d i k o r e l a s i , ma k ad i n a ma k a na d ap r o b l e ma u t o k o r e l a s i . Mo d e lr e g r e s iy a n gb a i ka d a l a hr e g r e s iy a n g b e b a sd a r ia u t o k o r e l a s i . Au t o k o r e l a s ip a d as e b a g i a n b e s a rk a s u sd i t e mu k a np a d ar e g r e s iy a n gd a t a n y a a d a l a ht i mes e r i e sa t a ub e r d a s a r k a nwa k t ub e r k a l a , s e p e r t ib u l a n a n , t a h u n a nd a ns e t e r u s n y a . Ko n s e k u e n s id e n g a na d a n y aa u t o k o r e l a s id a l a m s u a t umo d e lr e g r e s ia d a l a hi n t e r v a lk e y a k i n a n me n j a d il e b a r , d i ma n aj i k ad i p a k s a k a na k a nb i a s d a l a mme n g a mb i lk e s i mp u l a nt e r u t a mat e n t a n g s i g n i f i k a na t a ut i d a k n y as e c a r as t a t i s t i kb a g is e t i a p k o e f e s i e nr e g r e s iy a n gd i u j i .

Uj iHi po t e s i s

Pur wa ni ng t y a sda nSuj a t mi ka : Ha:1 2 3 4 , t e r d a p a tp e n g a r u h y a n gs i g n i f i k a nd a r iv a r i a b e l v a r i a b e l i n d e p e n d e ns e c a r ab e r s a ma s a mat e r h a d a pv a r i a b e ld e p e n d e n n y a . Pa d au j ii n id i l a k u k a nu j is a t us i s id e n g a n t i n g k a ts i g n i f i k a ns e b e s a r5 %u n t u kme n d a p a t k a nn i l a iFt a b e l , s e d a n g k a nu n t u kme n a r i k k e s i mp u l a nd a r ip e r s a ma a ny a n gd i d a p a t d i g u n a k a np e d o ma ns e b a g a ib e r i k u t: -J i k aFh i t u n gFt a b e l , a t a ut e r l e t a kd id a e r a h p e n o l a k a nHo , ma k aHod i t o l a k .

2. Uj it a.Uj itt e r h a d a p 1 Ho:1=0 , t i d a kt e r d a p a tp e n g a r u hy a n g s i g n i f i k a nd a r iv a r i a b e l Co s tEf f i c i e n c y Ra t i ot e r h a d a pRe t u r nSa h a m. Ha:1 0 ,t e r d a p a tp e n g a r u hy a n g s i g n i f i k a nd a r iv a r i a b e l Co s tEf f i c i e n c y Ra t i ot e r h a d a p Re t u r nSa h a m. Ap a b i l ath i t u n gme n u n j u k k a nn i l a il e b i h b e s a rd i b a n d i n g k a nd e n g a ntt a b e ld e n g a n t i n g k a ts i g n i f i k a n s i5 %, d e g r e eo ff r e e d o m ( Nk 1 ) , ma k ak o e f i s i e nr e g r e s iv a r i a b e l Co s tEf f i c i e n c yRa t i o a d a l a hs i g n i f i k a n .

An a l i s i sPe n g a r u hCo s tEf f i c i e n c yRa t i o

Ap a b i l ath i t u n gme n u n j u k k a nn i l a il e b i h b e s a rd i b a n d i n g k a nd e n g a ntt a b e ld e n g a n t i n g k a ts i g n i f i k a n s i5 %, d e g r e eo ff r e e d o m ( Nk 1 ) , ma k ak o e f i s i e nr e g r e s iv a r i a b e l De b tt oEq u i t yRa t i o a d a l a hs i g n i f i k a n .

3. HASI LPENELI TI AN Pe n e l i t i a ni n ib e r t u j u a nu n t u kme n g e t a h u id a n me n g u j ip e n g a r u h Co s tEf f i c i e n c yRa t i o( CER) ,Ov e r h e a dEf f i c i e n c y( OHE) , De b tEq u i t yRa t i o ( DER) t e r h a d a pr e t u r ns a h a md iBu r s aEf e kI n d o n e s i a( BEI ) p a d ap e r i o d e2 0 0 6 2 0 0 8 . Da t ay a n gd i g u n a k a nd a l a m p e n e l i t i a ni n ia d a l a hl a p o r a nk e u a n g a nt a h u na u d i t b a n kt a h u n2 0 0 6 2 0 0 8d a nr e t u r ns a h a mt a h u n2 0 0 6 2 0 0 8 . Su mb e rd a t ad i p e r o l e hd a r iBu r s aEf e kI n d o n e s i a( BEI )d a nI n d o n e s i a n Ca p i t a lMa r k e tDi r e c t o r y ( I CMD) . Po p u l a s id a l a mp e n e l i t i a ni n ia d a l a hs e l u r u h b a n k , p a d ap e r i o d e2 0 0 6 2 0 0 8s e h i n g g ad i p e r o l e h s a mp e ls e b a n y a k1 8b a n k . Pe n a r i k a np o p u l a s id a p a t d i l i h a tp a d at a b e lb e r i k u t : Ta b e l4 . 1 Pe na r i ka nSa mpe l

b . Uj itt e r h a d a p2 Ho:2=0 , t i d a kt e r d a p a tp e n g a r u hy a n g s i g n i f i k a nd a r iv a r i a b e lOv e r h e a dEf f i c i e n c y t e r h a d a pRe t u r nSa h a m. Ha:2 0 , t e r d a p a tp e n g a r u hy a n g s i g n i f i k a nd a r iv a r i a b e lOv e r h e a dEf f i c i e n c y t e r h a d a pRe t u r nSa h a m. Ap a b i l ath i t u n gme n u n j u k k a nn i l a il e b i h b e s a rd i b a n d i n g k a nd e n g a ntt a b e ld e n g a n t i n g k a ts i g n i f i k a n s i5 %, d e g r e eo ff r e e d o m ( Nk 1 ) , ma k ak o e f i s i e nr e g r e s iv a r i a b e l Ov e r h e a dEf f i c i e n c y a d a l a hs i g n i f i k a n .

7 1

Sumbe r:I CMD, 2 00 6200 8

1 )Anal i s i sSt a t i s t i kDe s kr i pt i f Be r i k u ta k a nd i j e l a s k a na n a l i s i ss t a t i s t i k d e s k r i p t i fy a i t ume n j e l a s k a nd e s k r i p s id a t ad a r i

7 2

Ka j i a nAk u n t a n s i , Vo l . 4 , No . 1 , J u n i2 0 0 9 :6 3 7 7 Ta b e l4 . 2 Ha s i lpe r hi t ung a nMe a nda nSt a nda rDe v i a s iDa r iv a r i a be l v a r i a be lpe ne l i t i a nDe s c r i pt i v eSt a t i s t i c s

Sumbe r:Da t as e k u nd e ry a ngd i o l a h , 20 09

Pe ng uj i a nAs ums iKl a s i k a )Uj iMul t i ko l i ni e a r i t a s Pe n g u j i a nt e r h a d a pmu l t i k o l i n e a r i t a s d i l a k u k a nb e r t u j u a nu n t u kme n g u j ia p a k a hmo d e l r e g r e s id i t e mp a t k a na d a n y ak o r e l a s ia n t a r v a r i a b e lb e b a s( i n d e p e n d e n t ) . Mo d e lr e g r e s iy a n g b a i ks e h a r u s n y at i d a kt e r j a d ik o r e l a s id i a n t a r a v a r i a b e lb e b a s . Pe n d e t e k s i a n n y ad i l a k u k a n d e n g a nme n g g u n a k a n To l e r a n c eVa l u ed a nVa r i a n c eI n f l a t i o nFa c t o r( VI F) . J i k an i l a iTo l e r a n c e Va l u e>0 . 1 0d a nn i l a iVI F<1 0 , ma k at i d a kt e r j a d i mu l t i k o l i n e a r i t a s . ( Gh o z a l i2 0 0 5 ) .

t i t i k t i t i kd a l a mg r a f i kme n y e b a rt i d a kme mb e n t u k p o l at e r t e n t u( b e r g e l o mb a n g , me l e b a rk e mu d i a n me n y e mp i t ) , s e r t at e r s e b a rb a i kd ia t a sma u p u n d ib a wa ha n g k a0p a d as u mb uY, ma k at i d a k t e r j a d ih e t e r o s k e d a s t i s i t a s . Ha s i lu j iHe t e r o k e d a s t i s i t a sd a p a td i l i h a tp a d ag a mb a rg r a f i kb e r i k u t : Ga mb a r4 . 1 Gr a f i kSc a t t e rPl o tUj i He t e r o s ke da s t i s i t a s

Ta b e l4 . 3 Ha s i lUj iMul t i ko l i ne a r i t a s

c ) Uj iNo r ma l i t a s

Sumbe r:Da t aDi o l a h , 2 00 9

Uj iNo r ma l i t a sd i g u n a k a nu n t u kme n g e t a h u i a p a k a hr e s i d u a l( e r r o rt e r m)d a r ih a s i lr e g r e s i t e r d i s t r i b u s is e c a r an o r ma l . Uj ii n id i l a k u k a n d e n g a nme n g g u n a k a ng r a f i kn o r ma lP-PPl o t . J i k ag r a f i kn o r ma lP-PPl o tme n u n j u k k a n