PENGARUH FAKTOR MAKRO EKONOMI TERHADAP RETURN SAHAM BANK KONVENSIONAL DAN BANK SYARIAH: STUDI KASUS BCA DAN BANK PANIN SYARIAH

The stock market has had an important role in economic where the stocks which have been traded come from many industries and one of them is banking industry. According to Undang-Undang Nomor 10 Tahun 1998, the common bank can be divided into conventional bank and Islamic ( Sharia ) bank. This research is purposed to examine deeply about the movement of the conventional and the Sharia bank stock return which is caused by macroeconomics factors. The data is used from April 2016 until June 2018. The method is VECM. The analysis is described by Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) analyzing.The result of this research describes that when the economic is in good situation where Rupiah exchange rate is tightening and BI 7day is decreasing means either BCA or Bank Panin Syariah stock return is on the rise. BCA and Bank Panin Syariah stock return are different in response to the inflation rate. The result also indicates that internal factors such as efficiency in operating expenses; lower Non Performing Loan margin; interesting interest rate; and so on are the most important factor for BCA and Bank Panin Syariah stock performance.  Keywords:   banking, macroeconomics, stock return, VECM