The Impacts of Risk-Based Bank Rating (RBBR) Ratios on Stock Return of BUKU III Banks Listed on The Indonesia Stock Exchange, 2011-2020

Abstract. As the banking sector plays a major role in supporting and increasing a country's economic rate, banks are expected to perform its function well. However, the COVID-19 pandemic and government containment measures led to a sudden stop in real economic activity and placed the financial system under strain, culminating in severe liquidity stress in 2020. This shock has hit all sectors, including the stock market, with many having become hesitant to invest in stocks. This study aims to determine the impact of the Risk-Based Bank Rating (RBBR) method on stock return of the banks in the BUKU III category in Indonesia. The study's population comprises all banks listed in the Indonesia Stock Exchange, and the purposive sampling technique is used, for a sample size of nine banks. Via multiple regression analysis techniques, the study findings show that credit risk, liquidity risk, earnings, and capital simultaneously and significantly impact the stock return of the banks in BUKU III. Furthermore, the categories of credit risk, NPL and earnings, and ROA have a significant and positive impact on the stock return of the banks in BUKU III, unlike capital, whose impact is not found to be significant. Since those factors affect banks' stock return, the banks' management ought to give more consideration to the importance of risk management. Keywords: BUKU III, bank's healthiness, Risk-Based Bank Rating, stock return, COVID-19