Hubungan Funding Liquidity, Bank Size dan Capital Buffer dengan Perilaku Risk Taking Perbankan Syariah dan Konvensional di Indonesia

CIPTONING SURYO C, Eddy Junarsin, Ph.D., CFP.

2022 | Tesis | MAGISTER SAINS MANAJEMEN

Penelitian ini bertujuan untuk melihat pengaruh dari Funding Liquidity terhadap risk taking perbankan di Indonesia. Pada penelitian ini digunakan alat regresi data panel dengan populasi seluruh perbankan di Indonesia. Data perbankan yang diambil adalah seluruh perbankan baik konvensional dan syariah dengan periode 2017-2021. Pengukuran Risk Taking perbankan digunakan 4 pendekatan yaitu Z-Score, Risk Weighted Average (RWA), Loan Loss Provision (LLP), dan Non Performing Loans (NPL). Selain itu pada penelitian ini menggunakan 3 variabel moderasi untuk mengukur interaksi hubungan antara funding liquidity dengan risk taking yaitu Size atau ukuran perbankan, Capital Buffer dan Islamic. Hasil Penelitian menunjukkan bahwa funding liquidity memiliki hubungan yang positif dengan perilaku risk taking perbankan dimana semakin tinggi funding liquidity yang dimiliki maka perbankan akan semakin berisiko. Size atau ukuran perbankan juga memberikan pengaruh dimana perbankan yang semakin besar justru lebih menjaga risiko dari likuiditas mereka. Namun demikian besar kecilnya capital buffer tidak memberikan pengaruh yang signifikan pada interaksi funding liquidity dan risk taking. Hasil terakhir menunjukkan bahwa tidak terdapat perbedaan perilaku antara perbankan syariah dan konvensional di Indonesia pada perilaku risk taking mereka

This study aims to examine the effect of Funding Liquidity on risk-taking in banks in Indonesia. This study used panel data regression with the entire banking population in Indonesia. The banking data are all conventional and Islamic banking for 2017-2021. Measurement of risk-taking in banking uses four approaches, namely Z-Score, Risk-Weighted Average (RWA), Loan Loss Provision (LLP), and Non Performing Loans (NPL). In addition, this study uses three moderating variables to measure the relationship between funding liquidity and risk-taking: Size, Capital Buffer, and Islamic. The study results show that funding liquidity has a positive relationship with risk-taking behavior in banks where the higher the funding liquidity, the more risky the bank will be. The size or size of the banking sector also has an influence where the larger banks are, in fact, more likely to maintain the risk of their liquidity. However, the size of the capital buffer does not have a significant effect on the interaction of funding liquidity and risk-taking. The final result shows that there is no difference in behavior between Islamic and conventional banking in Indonesia in their risk-taking behavior.

Kata Kunci : Bank, Risk Taking, Funding Liquidity, Z-Score, RWA, LLP, NPL, Syariah, Regresi data panel