LIQUIDITY RISK AND PERFORMANCE OF BANKING SYSTEM: AN EMPIRICAL EVIDENCE FROM INDONESIA

ALBERT JEFFERSSON C, I Wayan Nuka Lantara, S.E., M.Si., Ph.D

2018 | Skripsi | S1 MANAJEMEN

Penelitian ini menggunakan data panel dari bank-bank yang terdaftar di Indonesia selama 2012 - 2016 untuk menguji pengaruh risiko likuiditas terhadap kinerja. Faktor penentu yang digunakan dalam penelitian ini adalah deposito, kas, kesenjangan likuiditas, dan NPL, di mana penulis membuat rasio terhadap total aset dan pendapatan bersihnya. Adapun kinerjanya, diukur dengan Pretax Profit Margin (PPM), Return on Average Asset (ROAA), serta Return on Average Equity (ROAE). Beberapa variabel lain yang dipertimbangkan adalah rasio efisiensi (BOPO) yang berfungsi sebagai variabel kontrol. Sebagai hasil dari regresi linier berganda, kesenjangan likuiditas tampak signifikan secara statistik dalam model yang mengukur kinerja oleh ROAA dan ROAE. Sedangkan NPL signifikan dalam model di mana kinerja diukur menggunakan PPM dan ROAA.

This research uses panel data from listed Indonesian banks during 2012 � 2016 to examine the effect of liquidity risk towards the performance. The determinants used in this study are deposit, cash, liquidity gap, and NPL, in which the author calculates ratio towards its total asset and net revenue. As for the performance, the author measured by Pretax Profit Margin (PPM), Return on Average Asset (ROAA), as well as Return on Average Equity (ROAE). Some other variable that being considered is efficiency ratio that worked as the control variable. As the result of the multiple linear regression, liquidity gap appears to be statistically significant in the model that uses ROAA and ROAE as the performance indicator. Whereas NPL is significant in the model where performance measured using PPM and ROAA. Keywords:

Kata Kunci : Manajemen Risiko, Risiko Likuiditas, Likuiditas, Kinerja Bank, ROAA, ROAE, PPM, NPL, Risk Management, Liquidity Risk, Liquidity, Bank Performance