Final Project. Riana Rizqi Maulida. Undergraduate Program. School of Business and Management. Institut Teknologi Bandung

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1 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 Undergraduate Program School of Business and Management Institut Teknologi Bandung 2010

2 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 Examination Date : August 2 nd, 2010 Graduation Date : October 23 rd, 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 i

3 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 Examination Date : August 2 nd, 2010 Graduation Date : October 23 rd, 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 ii

4 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: 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 23 rd, 2010 Approved By Dra. Isrochmani Murtaqi, MAcc iii

5 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. iv

6 8. Thank you for all SBM students, lecturers, and staff for my great three years. Bandung, July 23 rd 2010 Riana Rizqi Maulida v

7 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 Background Problem Identification Objective Scope Report Outline... 4 CHAPTER 2 : THEORETICAL FOUNDATION Bank Bank Performance Indicator Loan to Deposit Ratio (LDR) Non Performing Loan Ratio (NPL) Capital Adequacy Ratio (CAR) Return on Equity Ratio (ROE) Statistic Analysis Regression Anlysis Stationary Test vi

8 Normality Test Multicollinearity Test Heteroscedasticity Test Autocorrelation Test Hypothesis Testing R R-squared t-test F Test CHAPTER 3 : METHODOLOGY Problem Identification Literature Study Hypothesis Data Collection CHAPTER 4 : DATA ANALYSIS Ratio Analysis Statistic Analysis Regression Assumption Test Stationary Test Normality Test Multicollinearity Test Heteroscedasticity Test Autocorrelation Test Regression Model Hypothesis Testing R vii

9 R-squared t-test F Test Data Analysis Bank Mandiri BRI BCA BNI Bank Danamon CHAPTER 5 : CONCLUSION AND RECOMMENDATION Conclusion Recommendation REFERENCES APPENDICES viii

10 LIST OF GRAPH Graph 4.1 LDR Graph 4.2 NPL Graph 4.3 CAR Graph 4.4 ROE ix

11 LIST OF IMAGE Image 2.1 Bank Activity... 7 Image 3.1 Research Metodology Image 4.1 Histogram Image 4.2 Normal P-P Plot of Regression Standardized Residual Image 4.3 Homoscedasticity Scatter Plot x

12 LIST OF TABLE Table 4.1 LDR Table 4.2 NPL Table 4.3 CAR Table 4.4 ROE Table 4.5 Skewness and Kurtosis Table 4.6 Multicollinearity Test Table 4.7 Heteroscedesticity Test Table 4.8 Durbin Watson Test Table 4.9 Regression Coefficient Test Table 4.10 R and R-squared table Table 4.11 F Test Table 4.12 Bank Mandiri Performance Table 4.13 BRI Performance Table 4.14 BCA Performance Table 4.15 BNI Performance Table 4.16 Bank Danamon Performance xi

13 LIST OF APPENDICES APPENDIX A Durbin-Watson d Statistic : Significance points for dl and du at 0.05 level of significant APPENDIX B SPSS Output APPENDIX C Bank Mandiri Financial Highlights for , Balance Sheet, Income Statement, and Statement of Cash Flow at The Year Ended APPENDIX D BRI Financial Highlights for , Balance Sheet and Income Statement at The Year Ended APPENDIX E BCA Financial Highlights for , Balance Sheet, Income Statement, and Statement of Cash Flow at The Year Ended APPENDIX F BNI Financial Highlights for , Balance Sheet, Income Statement, and Statement of Cash Flow at The Year Ended APPENDIX G Bank Danamon Financial Highlights for , Balance Sheet, Income Statement, and Statement of Cash Flow at The Year Ended APPENDIX H Data Table xii