Harjum Muharam and Hasna Penta Kurnia
(hardjum@gmail.com)
Management Department, Faculty of
Economics and Business, Diponegoro University
Jl. Prof. Soedharto SH Tembalang,
Semarang 50239, Phone: +622476486851
ABSTRACT
Bank and risk are two things that cannot be
separated from each other. Both conventional and Islamic banks are more or less
similar in risk summary. One of the critical risk is liquidity risk that caused
by bank disabilities on meeting their maturity dates of depositors. Therefore
it needs further observations to control their liquidity risk. This study
investigates the influence of CAR, profitability ratios, NIM, liquidity gaps,
and RLA belongs to liquidity risk on banking industry. The population of this
study consists of conventional and Islamic banks. The selection of samples uses
purposive sampling method. The samples are divided into 3 conventional banks
and 3 Islamic banks. The study is based on secondary data in a period of five
years, i.e. 2007-2011. The statistical analysis of secondary data has been divided
into three, which
are descriptive, regression and
hypothesis testing. The study finds negative and significant influence of CAR
and ROE to liquidity risk on conventional banks, while ROA and RLA have
positive and insignificant effect. In Islamic banks, the research finds
positive and significant impact of NIM and ROE to dependent variable, whereas
liquidity gaps and RLA have insignificant affect. Liquidity gaps have positive
and significant effect to liquidity risk in conventional banks, while ROA
has positive direction in Islamic banks. In addition, NIM in first model and
CAR in second model is found to be negative and insignificant at 5%
significance level.
Keywords: conventional banks, Islamic banks, liquidity risk, fundamental factors
INTRODUCTION
In daily business transactions, bank has some risk as
consequences caused by their activities. There will be no bank if there is no
braveness to take risk. There are several risks that must be considered by
banks, for example: market risk, operational risk, legal risk, compliance risk,
credit risk, and liquidity risk. One of crucial risk is liquidity risk that comes from the mismatch timing between
cashinflow and cashoutflow. This lack outcome from cash that hopefully to be
invested in credit loans or outcome from deficit cash that needed to meet their
short-term obligations[1].
Conventional banks adopt interest system which it can be used to fulfill the
cash needed, on the other hand this system is forbidden in Islamic banks so
they can not spend the profit of loans to cover their maturitity dates.
Banks
are considered in liquid circumstances when they go through some requirements;
bank has some liquid instruments and these are equal with the amount of
liquidity needs. Bank has the ability to obtain liquidity by creating or converting cash, and
bank has less liquidity than needed. When bank meets the standard, this
regulated entities has less troubled condition. It can be assumed the liquidity
risk can be pushed.
Nowadays,
many countries adopt two systems banking which are conventional and Islamic or
sharia banking system. Similar in Indonesia, many banks already have these kind
of systems. The first established Islamic bank is Muammalat Indonesia Bank that
has started their operation in 1992 and it was followed by other banks. Today,
sharia bank is an alternative for customers especially moeslems who disagree with
interest system that forbbiden in Islam.
This
study aims to analyze the influence of CAR, ROA, ROE, NIM, liquidity gaps, and
RLA to liquidity risk between conventional and Islamic banks in Indonesia.
CONCLUSION
Nowadays, due to global economic system, both conventional and Islamic
banks should be aware of the potential of liquidity risk. Its study examines liquidity
risk through a comparative study between conventional and Islamic banks in
Indonesia from the period 2007-2011. The
above results show the fitness of both models 1 and 2 at F-statistic of 4,209
and 5,684 at 5% significance level. Its point out that both models are good fit.
Based on the result of hypothesis testing, independent variables that have
negative and significant effects are CAR and ROE in conventional banks. Whereas
in Islamic banks, ratio that has same effect is ROA. It means conventional
banks have good ability to control their capital and generate earnings by their
equity that can be used to meet their short term obligations. In contrary,
Islamic banks have good ability to generate earnings by their assets. The
result of Chow-test shows there is a difference influence of independent
variables to liquidity risk between both models.
The
strength of this study compared from previous study is the data used which are more
longer and up-to date (2007-2011). The influence of CAR, ROA, ROE, NIM, LG, and
RLA to liquidity risk make some differences between conventional and Islamic
banks. The writer mention the function of its research to the bank management
to well control their liquidity risk, by learning the pattern of the risk and
economic circumtances. It is expected they will know the risk faced by them,
and the possibility in trouble can be pushed. Banks expected to estimate
accurately the short-term demand of liquidity especially for undpredictable
demand one. ALCO on these bank should make strategies to submit the liquidity
principles in cooperation.
The
limitation of this study are the number of banks samples which are few number
so there are still companies outside of the object research. Based on adjusted
R2 value, there are still other variables that can explain but they are not included in this study. The
future studies might increase the number of companies samples as the research objects
and should add variables that may effect the liquidity risk. As a matter of
fact, further research should not be limited on banking industry only but
should also be extended on others indutries.
[1] Anas & Mounira(2008), “Managing Risk and Liquidity in
an Interest Free Banking Framework: The Case of the Islamic Banks”. International Journal of Business and
Management.
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