Indonesian Bank Stocks Beat Market Expectations for Two Years, Study Finds
MAKASSAR, Indonesia — A study published in 2026 by Fitriani Rahim from the Management Study Program, Faculty of Economics and Business, Universitas Negeri Makassar, found that a portfolio consisting of Indonesia’s four largest state-owned conventional banks outperformed market expectations during 2022 and 2023 before weakening significantly in 2024. The research, published in the International Journal of Global Sustainable Research (IJGSR), highlights how diversification among major banking stocks can generate excess returns during favorable market conditions while remaining vulnerable to broader economic pressures.
The study examined the stock performance of Bank Rakyat Indonesia (BRI), Bank Negara Indonesia (BNI), Bank Tabungan Negara (BTN), and Bank Mandiri, which together represent some of the most influential companies on the Indonesia Stock Exchange (IDX). The findings are important for investors, policymakers, and financial analysts seeking to understand how Indonesia’s banking sector responds to changing economic conditions.
Why Indonesia’s Banking Sector Matters
Indonesia’s banking industry plays a central role in the national economy and accounts for a substantial share of market capitalization on the Indonesia Stock Exchange. As interest rates, inflation, exchange rates, and credit demand fluctuate, banking stocks often experience significant price movements.
Over the past several years, investors have faced an increasingly complex market environment. Rising interest rates, global economic uncertainty, and changing consumer behavior have affected the profitability and valuation of financial institutions. As a result, evaluating whether bank stocks are delivering returns that justify their risks has become increasingly important.
The research arrives at a time when Indonesia has seen growing participation from retail investors, many of whom invest in banking stocks because of their popularity and reputation without fully understanding the relationship between risk and return.
How the Research Was Conducted
The study analyzed stock market data from 2022 to 2024 for four major state-owned banks:
- Bank Negara Indonesia (BBNI)
- Bank Tabungan Negara (BBTN)
- Bank Rakyat Indonesia (BBRI)
- Bank Mandiri (BMRI)
Each stock was assigned an equal portfolio weight of 25 percent.
The researcher collected secondary data from the Indonesia Stock Exchange, Bank Indonesia, and Investing.com. Portfolio performance was evaluated using Jensen’s Alpha, a widely recognized investment performance measure that determines whether a portfolio generates returns above or below what would normally be expected based on its market risk.
The analysis also incorporated market returns represented by the Composite Stock Price Index (IHSG), benchmark interest rates from Bank Indonesia, and systematic risk measurements known as beta values.
Portfolio Outperformed the Market in 2022 and 2023
One of the most significant findings is that the bank-stock portfolio generated positive excess returns for two consecutive years.
The portfolio recorded:
- 19.86% return in 2022
- 11.99% return in 2023
- -15.41% return in 2024
After adjusting for market risk through Jensen’s Alpha, the portfolio achieved:
- 15.84% positive alpha in 2022
- 5.81% positive alpha in 2023
- -15.68% alpha in 2024
Positive alpha indicates that a portfolio delivers returns above what investors would normally expect given its level of risk. Negative alpha suggests underperformance.
The results show that diversification among the four major banking stocks successfully created value beyond market expectations during the first two years of the study period. However, that advantage disappeared in 2024 as the banking sector experienced widespread weakness.
Bank Mandiri Emerged as the Strongest Performer
Among the individual banks analyzed, Bank Mandiri consistently demonstrated the strongest performance and resilience.
In 2022, Bank Mandiri generated a stock return of 39.86%, the highest among all banks in the portfolio. It also posted the strongest Jensen’s Alpha at 35.77%, indicating substantial outperformance relative to market expectations.
The bank remained the top performer in 2023 with a return of 21.90% and a positive alpha of 15.73%.
Even during the difficult market conditions of 2024, Bank Mandiri experienced the smallest decline among the four banks, recording a stock return of -5.79% and an alpha of -6.42%, making it the most resilient stock in the group.
The study suggests that Bank Mandiri’s performance may reflect the strength of its business model, operational management, and digital transformation initiatives.
BTN Consistently Lagged Behind
In contrast, Bank Tabungan Negara (BTN) underperformed throughout the entire study period.
BTN was the only bank to record negative alpha values in every year analyzed:
- -22.88% in 2022
- -13.26% in 2023
- -7.60% in 2024
According to the study, BTN’s weaker performance may be linked to its stronger exposure to the property sector and its greater sensitivity to rising interest rates.
These characteristics made the bank more vulnerable during periods of economic adjustment and monetary tightening.
Market Conditions Changed Dramatically in 2024
The research found that macroeconomic conditions played a major role in shaping portfolio outcomes.
Bank Indonesia’s benchmark rate increased steadily from 5.50% in 2022 to 6.25% in 2024, reflecting tighter monetary policy.
Meanwhile, overall market performance weakened. The IHSG generated returns of:
- 4.09% in 2022
- 6.17% in 2023
- 0.63% in 2024
The near-stagnant market environment in 2024, combined with higher interest rates and concerns about banking-sector risks, contributed to the portfolio’s negative performance.
As Fitriani Rahim of Universitas Negeri Makassar explains through the study’s findings, diversification among banking stocks can effectively reduce company-specific risks and produce excess returns during favorable market periods. However, diversification within a single sector offers limited protection when the entire industry faces broad economic pressure.
Implications for Investors and Policymakers
The findings provide several practical lessons.
For investors, the research demonstrates that evaluating risk-adjusted returns is as important as tracking stock price gains. Strong returns alone do not necessarily indicate superior performance unless they exceed what would be expected based on market risk.
For financial advisors and investment managers, the study highlights the importance of monitoring macroeconomic indicators such as interest rates, inflation, and market volatility when constructing banking-sector portfolios.
For policymakers, the results underscore how monetary policy decisions can influence capital market performance and investor behavior.
The research also suggests that investors should consider diversifying across multiple sectors rather than relying solely on banking stocks, particularly during periods of economic uncertainty.
Author Profile
Fitriani Rahim, S.E. is a researcher from the Management Study Program, Faculty of Economics and Business, Universitas Negeri Makassar, Indonesia. Her academic interests include investment management, portfolio analysis, capital markets, financial performance evaluation, and risk-adjusted investment strategies.
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