Analysis the Impact of Macroeconomic on Financial Performance and Stock Returns of State-Owned Banks in Indonesia Stock Exchange 2006-2016

This study aims to analyze the developments of macroeconomic, financial performance and stock returns and to analyze how macroeconomic influence directly and indirectly through the financial performance on the stock return of state-owned banks in the Indonesia Stock Exchange period 2006 to 2016. Macroeconomic variables used are the interest rate (SB), exchange rate (NT) and Gross Domestic Product (GDP). Financial performance variables used are Capital Adequacy Ratio (CAR), Non Performing Loan (NPL), Operating Expenses to Operating Income (BOPO) and Loan to Deposit Ratio (LDR). The analysis technique used in this research is path analysis, using SPSS and Lisrel software. The results found in this study are development of macroeconomic variables, financial performance and stock returns four state-owned banks showed positive value. Directly, interest rate has a significant impact on stock returns of Bank Mandiri and BNI, the exchange rate has a significant impact on stock returns of BTN and GDP has a significant impact on stock returns of BRI. Indirectly, interest rate has a significant impact on stock returns of Bank Mandiri and BNI, the exchange rate has a significant impact on stock returns of all state-owned banks, the GDP has no significant impact on all stock returns the state-owned bank.