PENGARUH DIVERSIFIKASI PENDAPATAN BANK TERHADAP KINERJA DAN RISIKO BANK: STUDI EMPIRIS PADA BANK YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2013-2018

NUR INDAH CATUR F, I Wayan Nuka Lantara, S.E. and M.Si., Ph.D.

2019 | Tesis | MAGISTER MANAJEMEN (KAMPUS JAKARTA)

Deregulasi keuangan, persaingan intensif dan semakin ketatnya persaingan dalam penyaluran kredit menjadi salah satu tantangan pada sektor perbankan di Indonesia. Bank tidak lagi bergantung pada aktifitas mendapatkan laba dari pendapatan bunga. Bank dituntut untuk memiliki strategi agar dapat terus meningkatkan profitabilitas dan meminimalisir risiko dalam menghadapi perubahan. Teori Portofolio menyatakan diversifikasi mampu memaksimalkan keuntungan dan meminimalisir risiko. Beberapa penelitian sebelumnya terkait pengaruh diversifikasi pendapatan bank masih menuai hasil yang beragam dan kontradiktif terhadap peningkatan kinerja bank dan penurunan risiko. Penelitian ini mengunakan data sekunder berupa laporan keuangan dari Bursa Efek Indonesia (BEI). Objek penelitian bank di Indonesia yang terdaftar dan aktif pada Bursa Efek Indonesia pada periode 2013-2018. Jenis data pada penelitian ini mengunakan data panel unbalanced. Diversifikasi diukur menggunakan persamaan Adjusted Herfindahl-Hirshman Index (HHI), fee based income dan Trading Income. Kinerja bank secara keuangan diukur melalui Return on Asset, Return on Equity, Net Interest Margin dan kinerja secara pasar dengan persamaan Tobins-Q. Risiko sistematis diukur dengan nilai BETA dan Risiko non-sistematis dengan standar deviasi residual dari BETA (SDR.BETA). Hasil uji penelitian pengaruh diversifikasi pendapatan bank terhadap kinerja dan risiko bank di Indonesia justru menurunkan kinerja bank secara fundamental dan tidak memiliki pengaruh terhadap risiko. Bank yang terkonsentrasi cenderung memiliki kinerja yang lebih baik. Lebih lanjut diteliti bank sebaiknya fokus pada pendapatan yang memberikan kinerja positif yaitu fee based income. Kinerja trading income masih memberikan efek negatif, hal ini dapat mengerus pendapatan lainnya seperti fee based income, pendapatan bunga.

Financial deregulation, intensive competition and increasing intense competition in finance loan are various challenges in banking sector in Indonesia. Banks no longer depend on interest income to earn profits. Banks are required to have a strategy in order to continue and improve profitability as well as minimize risk in facing the global changes. Portfolio Theory states that diversification can maximize profits and minimize risk. Several previous studies related to the effect of diversifying bank income still lead to diverse and contradictory results towards the improvement of bank performance and risk reduction. This study uses secondary data of financial statements acquired from the Indonesia Stock Exchange (IDX). The object of this research is Indonesia banks that are listed and active on the Indonesia Stock Exchange in the period 2013-2018. The study uses type of unbalanced panel data. Diversification is measured using the Adjusted Herfindahl-Hirshman Index (HHI) equation, fee-based income and Trading Income. Bank financial performance is measured through Return on Assets, Return on Equity, Net Interest Margin and market performance with the Tobins-Q equation. Systematic risk is measured by the value of BETA and non-systematic risk by the standard deviation of residuals from BETA (SDR.BETA). The results of the research shows that the effect of bank revenue diversification in Indonesian banks performance and risk. In fact, fundamentally reduces bank performance and has no influence on risk. Concentrated banks tend to have better performance. Furthermore this research suggests that the banks should focus on revenues that provide positive performance, namely fee-based income. Trading income performance still has a negative effect, this can drive other income such as fee-based income and interest income.

Kata Kunci : Diversifikasi Pendapatan, Pendapatan non-bunga, Fee based income, Trading Income, risiko, kinerja bank.