PENGARUH DIVERSIFIKASI PENDAPATAN TERHADAP RISIKO PADA BANK YANG TERDAFTAR DI BURSA EFEK INDONESIA

Wahyu Eko Setiono, Mamduh M. Hanafi, Dr., M.B.A.,

2017 | Tesis | S2 Manajemen

Peningkatan pendapatan nonbunga pada bank di Indonesia menandakan bank mulai melakukan diversifikasi pada pendapatan. Kebijakan regulator, globalisasi, masyarakat, dan berkembangnya teknologi membuat banK memperluas lini bisnis diluar aktivitas tradisional bank sebagai lembaga intermediasi. Penelitian mengenai diversifikasi pendapatan telah dilakukan oleh beberapa peneliti dengan mendapatkan hasil beragam tentang manfaat dari diversifikasi pendapatan terhadap risiko. Penelitian ini bertujuan untuk mengetahui manfaat diversifikasi pendapatan terhadap risko pada bank yang terdaftar di Bursa Efek Indonesia (BEI) periode 2011 hingga tahun 2015. Diversifikasi pendapatan diproksikan dengan menggunakan variabel Net Non-Interest Income (NNII), Fee Based Income (COM), dan Trading Income (TRAD). Risko bank diukur dengan menggunakan data akuntansi yang diproksikan dengan Deviasi Standar Return on Assets (DSROA), Deviasi standar Return on Equity (DSROE) dan Loan Loss Provisions to Net Loans (LLP) serta data pasar yang diproksikan dengan Deviasi Standar Return Saham (DSRET), BETA (βi), dan Deviasi Standar Residual (DSRES). Metode analisis dalam penelitian ini menggunakan regresi data panel. Hasil penelitian ini menunjukkan net non-interest income tidak mempengaruhi risiko bank (risiko akuntansi dan risiko pasar), fee based income ditemukan mampu menurunkan risiko akuntansi (dsroa dan dsroe), dan pada trading income ditemukan mampu meningkatkan risko loans loss provisions. ketika bank dikelompokkan menjadi dua ukuran yaitu bank besar dan bank kecil net non-interest income tidak mempengaruhi risiko (risiko akuntansi dan risiko pasar), fee based income mampu menurunkan deviasi standar roa dan roe pada bank besar dan kecil, sedangkan hasil berbeda ditunjukkan terhadap loan loss provisions to net loans pada bank besar berpengaruh positif dan sebaliknya pada bank kecil berpengaruh negatif. Hasil pengujian trading income pada bank besar dan bank kecil tidak ditemukan pengaruh terhadap risko bank.

The increasing of non-interest income of bank in Indonesia indicates that banks are starting to diversify their revenues. Regulatory policy, globalization, the community, and the development of technology allow banks expanding their business line, beside traditional activities of bank as an intermediary institution. Research on income diversification has been conducted by several researchers and generated various results about the benefits of income diversification on risk. This study aims to determine the benefits of income diversification on risk at banks listed in the Indonesia Stock Exchange (IDX) from 2011 to 2015. Diversification of income is proxied by using variable of Net Non-Interest Income (NNII), Fee Based Income (COM), and Trading Income (TRAD). The risk of bank is measured by accounting data that is proxied by Standard Deviation of Return on Assets (DSROA), Standard Return on Equity (DSROE) and Loan Loss Provisions to Net Loans (LLP), as well as data of market that is proxied by Standard Deviation of Stock Returns (DSRET), BETA (βi), and Residual Standard Deviation (DSRES). The method of analysis in this study uses panel data regression. The result shows that Net Non-Interest Income does not affect risk of bank (accounting risk and market risk), fee based income is found to decrease accounting risk (DSROA and DSROE), and on trading income is found to increase risk of loans loss provisions. When banks are grouped into large banks and small banks, Net Non-Interest Income does not affect risk of bank (accounting risk and market risk). Fee based income could reduce the risk in large and small banks in which higher benefits is obtained by large banks. Different result is also found that the increasing of fee based income on loan loss provisions to net loans in which income diversification in large banks has positive effect on risk, so it will increase the risk. On the other hand, income diversification in small banks has negative effect on risk, so it will reduce the risk. It is also found that trading income in large and small banks has no effect on risk of bank.

Kata Kunci : Diversifikasi Pendapatan, Net Non-Interest Income, Fee Based Income, Trading Income, Risiko Bank, Risiko Akuntansi, Risiko Pasar