Analysis of Risk-Based Bank Rating as A Predictor of Stock Return Moderated Trading Volume

Abstract

This study aims to analyze the effect of Risk-Based Bank Rating (RBBR) proxied by Loan to Deposit Ratio (LDR), Good Corporate Governance (GCG), Return on Asset (ROA), and Capital Adequacy Ratio (CAR) on stock return, with trading volume as a moderating variable

The sample consists of 13 national private banks listed on the Indonesia Stock Exchange for the 2020-2024 period (65 observations). Panel data regression with the Common Effects Model (CEM) and Moderated Regression Analysis (MRA) were employed

Results show that partially, LDR and GCG had a negative and significant effect on stock return, ROA had a positive and significant effect as the most dominant factor, while CAR had no significant effect. MRA results revealed that trading volume only significantly moderated the effect of ROA on stock return with weak strength, but did not moderate LDR, GCG, or CAR. These findings indicate that although the CEM explains fundamental relationships (R² = 78.42%), trading activity does not substantially alter market risk perceptions of bank liquidity, governance, or capital adequacy