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

2010

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

Riana Rizqi Maulida

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

2.3.1.1 Stationary Test ....................................................................................... 13

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

APPENDICES .................................................................................................... 45

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

Table 4.16 Bank Danamon 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