PENGARUH FAKTOR-FAKTOR EKSTERNAL DAN FAKTOR-FAKTOR INTERNAL TERHADAP PENGEMBALIAN SAHAM PERUSAHAAN PERBANKAN DAN NON PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2004 HINGGA 2013

The objective of this research is to obtain information of impact external and internal factors to stock return of nonbanking and banking companies in Indonesia, contributed to Indonesia Stock Exchange from 2004 until 2013. Data collected from 44 banking companies and 410 nonbanking companies. Through Purposive Sampling Method, this research selected 16 banking companies and 60 nonbanking companies as sample. The study used Data Panel Regression Model. Through Chow Test and Hausmann Test, the estimation model for this research is Random Effect Model. The independent variables divided into internal factors and external factors. Internal factros variables such as efficiency ratio, financial leverage ratio, return on equity, liquidity ratio, and growth of operating profit. External factors variables such ascurrent account balance, exchange rate,growth domestic product,Sertifikat Bank Indonesia, Inflation, and Crude Oil Price. And stock return as dependent variable. The result of this research is internal factors such as efficiency ratio, financial leverage ratio, and return on equity have influance to nonbanking stock return. While current account balance, Sertifikat Bank Indonesia, and inflation influence to banking stock return. The hypotheses is proven by the indicator of significance of the influence between variable that more than (<) α = 0,05