Final Project
THE EFFECT OF LOAN TO DEPOSIT RATIO (LDR), NON PERFORMING LOAN RATIO (NPL), AND CAPITAL ADEQUACY RATIO (CAR) ON RETURN
ON EQUITY (ROE) OF THE FIVE BIGGEST BANKS IN INDONESIA BASED ON ASSET
By
Riana Rizqi Maulida 19007005
Undergraduate Program
School of Business and Management Institut Teknologi Bandung
i THE EFFECT OF LOAN TO DEPOSIT RATIO (LDR), NON PERFORMING
LOAN RATIO (NPL), AND CAPITAL ADEQUACY RATIO (CAR) ON RETURN ON EQUITY (ROE) OF THE FIVE BIGGEST BANKS IN
INDONESIA BASED ON ASSET
RIANA RIZQI MAULIDA 19007005
Examination Date : August 2nd, 2010 Graduation Date : October 23rd, 2010
Undergraduate of Business and Management Program, Institut Teknologi Bandung 2010
Final Project Advisor : Dra. Isrochmani Murtaqi, MAcc
ABSTRACT
Bank is an intermediary institution which its main activity is to gather money from people with excess funds, then turn it into loan for those who needs it. This activity require bank to act based on trust and prudent. Bank generates profit from the difference of loan to deposit interest. The deposit in the bank called Dana Pihak
Ketiga (DPK). More DPK transform into loan means bank has bigger opportunity to
generate profit. To measure this situation, bank used Loan to Deposit Ratio (LDR). Transforming DPK into loan as many as possible is not the only way to create profit, because not every loan can be paid back by the customer. This kind of loan called non performing loan. To measure how much loan can not paid by the customer, bank uses Non Performing Loan ratio (NPL). Bigger NPL value means lower profit to generate, or even it can create loss to the bank. But not every bank can can give loan to people. Bank must have sufficient equity to give loan to cover possible losses, exploring new products, and as a guarantee to people and Bank Indonesia that the bank able to give loan and cover the losse. Capital Adequacy Ratio (CAR) is used to measure this situation, bigger value better.
This study is discussing about the effect of LDR, NPL, and CAR to return of the bank, which is Return on Equity (ROE). The data is taken from five biggest bank in Indonesia based on it’s asset which are Bank Mandiri, BRI, BCA, BNI, and Bank Danamon financial ratios for 6 year
The study will analyze the effect of those ratio to the return using regression model and compute it into regression equation. The conclusion of this study is that only NPL that gives significant effect on ROE, while LDR and CAR have no significant effect. More financial ratios can be added for a better model.
Keywords : Bank, Loan to Deposit Ratio, Non Performing Loan, Capital Adequacy Ratio, Return on Asset
ii THE EFFECT OF LOAN TO DEPOSIT RATIO (LDR), NON PERFORMING
LOAN RATIO (NPL), AND CAPITAL ADEQUACY RATIO (CAR) ON RETURN ON EQUITY (ROE) OF THE FIVE BIGGEST BANKS IN
INDONESIA BASED ON ASSET
RIANA RIZQI MAULIDA 19007005
Examination Date : August 2nd, 2010 Graduation Date : October 23rd, 2010
Undergraduate of Business and Management Program, Institut Teknologi Bandung 2010
Final Project Advisor : Dra. Isrochmani Murtaqi, MAcc
ABSTRAKSI
Bank adalah lembaga intermediari dimana kegiatan utamanya adalah menghimpun dana masyarakat yang kemudian diubah menjadi pinjaman untuk dilepaskan pada masyarakat. Kegiatan ini mengharuskan bank untuk bertindak berdasarkan kepercayaan dan kehati-hatian. Bank menghasilkan laba dari selisih bunga antara simpanan dan pinjaman. Pinjaman masyarakat disebut sebagai Dana Pihak Ketiga (DPK). Semakin besar DPK yang diubah menjadi pinjaman, semakin besar potensi bank untuk menghasilkan laba. Hal ini dapat diukur melalui Loan to Deposit Ratio (LDR). Mengubah simpanan menjadi pinjaman ternyata tidak selamanya menghasilkan laba, karena tidak semua pinjaman dapat dikembalikan oleh nasabah. Pinjaman seperti ini disebut kredit macet. Untuk menghitung seberapa besar kredit macet yang terjadi, Non Performing Loan Ratio (NPL) digunakan. Nilai NPL yang semakin besar dapat mengindikasikan penurunan bank dalam menghasilkan laba, bahkan bisa mengakibatkan kerugian. Namun tidak semua bank dapat memberikan pinjaman kepada masyarakat. Bank harus memiliki modal yang cukup dalam memberikan pinjaman untuk mengantisipasi kerugian, mengeksplorasi potensi untuk produk baru, dan sebagai garansi kepada Bank Indonesia dan masyarakat bahwa bank mampu memberi pinjaman dan mengantisipasi kerugian yang mungkin timbul.
Capital Adequacy Ratio (CAR) digunakan untuk menghitung kecukupan modal,
dimana nilai yang semakin besar menunjukkan kemampuan yang lebih baik.
Penelitian ini akan membahas tentang LDR, NPL, dan CAR terhadap profitabilitas bank yaitu Return on Equity (ROE). Data dihimpun dari rasio finansial lima bank terbesar di Indonesia berdasarkan asetnya yaitu Bank Mandiri, BRI, BCA, BNI, dan Bank Danamon selama enam tahun.
Penelitian ini berisikan analisis mengenai pengaruh rasio-rasio tersebut terhadap laba, menggunakan model regresi dan membuat persamaan regresinya. Kesimpulan yang didapat adalah hanya NPL yang memberikan pengaruh terhadap ROE, sedangkan LDR dan CAR tidak. Rasio finansial lainnya dapat ditambahkan untuk mendapatkan model regresi yang lebih baik.
Kata kunci : Bank, Loan to Deposit Ratio, Non Performing Loan, Capital Adequacy Ratio, Return on Equity
iii APPROVAL PAGE
THE EFFECT OF LOAN TO DEPOSIT RATIO (LDR), NON PERFORMING LOAN RATIO (NPL), AND CAPITAL ADEQUACY RATIO (CAR) ON
RETURN ON EQUITY (ROE) OF THE FIVE BIGGEST BANKS IN INDONESIA BASED ON ASSET
By
Riana Rizqi Maulida ID No: 19007005
A Final Project in Partial Fulfillment
of the Requirement for the Degree of Bachelor of Management
Undergraduate Program of Management Study School of Business and Management
Institut Teknologi Bandung July 23rd, 2010
Approved By
__________________________ Dra. Isrochmani Murtaqi, MAcc
iv FOREWORD
I would like to convey my gratitude Allah SWT because of His goodness this final project is done well. This final project entitled ‘The Effect of Loan to Deposit Ratio (LDR), Non Performing Loan Ratio (NPL), and Capital Adequacy Ratio (CAR) on Return on Equity (ROE) of The Five Biggest Banks in Indonesia Based on Asset is made as a graduation requirement of bachelor degree in School of Business and Management Institute Technology of Bandung. In constructing this final project, I would like to thanks:
1. My parents who always support me. Thanks dad, for really helping me understand the theory of this final project, even helping me revise my final project. And thank you mom for always supporting me, giving me strength, and always praying for me.
2. My supervisor, Mrs. Dra. Isrochmani Murtaqi, MAcc who always helped me to finish this final project for the best result. Thank you ma’am for sparing your precious time to help me. I do really appreciate it.
3. My sister and brother. I thank you guys for always encouraging me to graduate on time, so that I can buy something for you two with my first salary.
4. Andaru Saputro, my dearest partner. Thank you for all the support you have given to me, the anger when I feel so lazy doing my final project and your shoulder when I need someone to strenghten me.
5. My family who always pray for me and support me.
6. Thank you for Tutorial D. You guys rock! Together with all of you, we already achieved three years best achievement with DELTITNU, DASH, and XLTeam.
7. Thank you for all my friends, who have supported me and prayed for me.
v 8. Thank you for all SBM students, lecturers, and staff for my great three
years.
Bandung, July 23rd 2010
vi LIST OF CONTENTS
ABSTRACT ... i
ABSTRAKSI ... ii
APPROVAL PAGE ... iii
FOREWORD ... iv
LIST OF CONTENTS ... vi
LIST OF GRAPH ... ix
LIST OF IMAGE ... x
LIST OF TABLES ... xi
LIST OF APPENDICES ... xii
CHAPTER 1 : INTRODUCTION ... 1 1.1 Background ... 1 1.2 Problem Identification ... 3 1.3 Objective ... 4 1.4 Scope ... 4 1.5 Report Outline ... 4
CHAPTER 2 : THEORETICAL FOUNDATION ... 7
2.1 Bank ... 7
2.2 Bank Performance Indicator ... 9
2.2.1 Loan to Deposit Ratio (LDR) ... 9
2.2.2 Non Performing Loan Ratio (NPL) ... 10
2.2.3 Capital Adequacy Ratio (CAR) ... 11
2.2.4 Return on Equity Ratio (ROE) ... 12
2.3 Statistic Analysis ... 12
2.3.1 Regression Anlysis ... 12
vii 2.3.1.2 Normality Test ... 14 2.3.1.3 Multicollinearity Test ... 14 2.3.1.4 Heteroscedasticity Test ... 14 2.3.1.5 Autocorrelation Test ... 14 2.3.2 Hypothesis Testing ... 15 2.3.2.1 R ... 15 2.3.2.2 R-squared ... 15 2.3.2.3 t-test ... 15 2.3.2.4 F Test ... 16 CHAPTER 3 : METHODOLOGY ... 17 3.1 Problem Identification ... 17 3.2 Literature Study ... 18 3.3 Hypothesis ... 18 3.4 Data Collection ... 18
CHAPTER 4 : DATA ANALYSIS ... 19
4.1 Ratio Analysis ... 19
4.2 Statistic Analysis ... 25
4.2.1 Regression Assumption Test ... 25
4.2.1.1 Stationary Test ... 25 4.2.1.2 Normality Test ... 25 4.2.1.3 Multicollinearity Test ... 28 4.2.1.4 Heteroscedasticity Test ... 28 4.2.1.5 Autocorrelation Test ... 30 4.2.2 Regression Model ... 31 4.2.3 Hypothesis Testing ... 32 4.2.3.1 R ... 32
viii 4.2.3.2 R-squared ... 32 4.2.3.3 t-test ... 32 4.2.3.4 F Test ... 33 4.3 Data Analysis ... 34 4.3.1 Bank Mandiri ... 34 4.3.2 BRI ... 34 4.3.3 BCA ... 35 4.3.4 BNI ... 36 4.3.5 Bank Danamon ... 36
CHAPTER 5 : CONCLUSION AND RECOMMENDATION ... 39
5.1 Conclusion ... 39
5.2 Recommendation ... 40
REFERENCES ... 41
ix LIST OF GRAPH Graph 4.1 LDR 2004 – 2009 ... 20 Graph 4.2 NPL 2004 – 2009 ... 21 Graph 4.3 CAR 2004 – 2009 ... 23 Graph 4.4 ROE 2004 – 2009 ... 24
x LIST OF IMAGE
Image 2.1 Bank Activity ... 7 Image 3.1 Research Metodology ... 17 Image 4.1 Histogram ... 25 Image 4.2 Normal P-P Plot of Regression
Standardized Residual ... 26 Image 4.3 Homoscedasticity Scatter Plot ... 29
xi LIST OF TABLE Table 4.1 LDR 2004 – 2009 ... 19 Table 4.2 NPL 2004 – 2009 ... 20 Table 4.3 CAR 2004 – 2009 ... 22 Table 4.4 ROE 2004 – 2009 ... 23
Table 4.5 Skewness and Kurtosis ... 27
Table 4.6 Multicollinearity Test ... 28
Table 4.7 Heteroscedesticity Test ... 29
Table 4.8 Durbin – Watson Test ... 30
Table 4.9 Regression Coefficient Test ... 31
Table 4.10 R and R-squared table ... 32
Table 4.11 F Test ... 33
Table 4.12 Bank Mandiri Performance ... 34
Table 4.13 BRI Performance ... 34
Table 4.14 BCA Performance ... 35
Table 4.15 BNI Performance ... 36
xii LIST OF APPENDICES
APPENDIX A Durbin-Watson d Statistic : Significance points for dL and dU at 0.05 level of significant ... 46 APPENDIX B SPSS Output ... 47
APPENDIX C Bank Mandiri Financial Highlights for 2004 – 2009, Balance Sheet, Income Statement, and Statement of Cash Flow at The Year Ended 2008 ... 49 APPENDIX D BRI Financial Highlights for 2004 – 2009, Balance Sheet
and Income Statement at The Year Ended 2008 ... 59 APPENDIX E BCA Financial Highlights for 2004 – 2009, Balance Sheet,
Income Statement, and Statement of Cash Flow at The Year Ended 2008 ... 65 APPENDIX F BNI Financial Highlights for 2004 – 2009, Balance Sheet,
Income Statement, and Statement of Cash Flow at The Year Ended 2008 ... 75 APPENDIX G Bank Danamon Financial Highlights for 2004 – 2009,
Balance Sheet, Income Statement, and Statement of Cash Flow at The Year Ended 2008 ... 85 APPENDIX H Data Table ... 94
