Liquidity Risk Determinants on Islamic and Conventional Banks Before and During The Covid-19 Pandemic

ABSTRAK

Tujuan penelitian ini dilakukan adalah untuk mengidentifikasi dan menganalisis determinan risiko likuiditas pada bank syariah dan konvensional yang beroperasi di Indonesia sebelum dan selama pandemi COVID-19. Penelitian ini adalah penelitian kuantitatif dengan menggunakan data panel untuk mengkaji hubungan antara risiko likuiditas dengan faktor spesifik bank dan faktor makroekonomi sebelum dan selama pandemi COVID-19 (2018-2021). Dengan mengambil sampel dari 10 bank syariah dan 20 bank konvensional yang ada di Indonesia, penelitian ini menemukan bahwa faktor spesifik bank yaitu Capital Adequacy ratio (CAR), Return on Equity (ROE), dan Non Performing Loan (NPL) atau risiko kredit  memiliki pengaruh pada likuiditas bank syariah. Sementara CAR dan NPL tidak memberikan pengaruh pada likuiditas bank konvensional hanya ROE yang memiliki pengaruh pada risiko likuiditas bank konvensional. Adapun faktor makro ekonomi (pertumbuhan GDP dan inflasi) tidak mempengaruhi risiko likuiditas kedua bank. Kemudian variabel pandemic  tidak memberikan pengaruh pada risiko likuiditas kedua jenis bank. Penelitian ini diharapkan dapat mempermudah para bankir dalam mengambil keputusan untuk meningkatkan kualitas pengelolaan likuiditas pada kedua sistem perbankan tersebut, terutama dimasa pandemi covid-19, agar tidak terjadi kebangkrutan.

Kata Kunci: Risiko Likuiditas, Bank Syariah, Bank Konvensional, Covid-19.

ABSTRACT

This study aims to identify and analyze the determinants of liquidity risk in Islamic and conventional banking in Indonesia before and during the COVID-19 pandemic. This study uses a panel data approach to examine the relationship between liquidity risk with bank-specific and macroeconomic factors before and during the COVID-19 pandemic (2018-2021). By taking samples from 10 Islamic banks and 20 conventional banks operating in Indonesia, this study found that bank-specific factors consist of Capital Adequacy ratio (CAR), Return on Equity (ROE), and Non-Performing loans (NPL) or credit risk affect the liquidity of Syariah banking. While CAR and NPL have no significant effect on conventional bank liquidity, other bank-specific factors, namely ROE, have a considerable effect on the liquidity risk of conventional banking. Meanwhile, macroeconomic factors (GDP growth and inflation) did not affect the liquidity risk of the two banks. Meanwhile, the dummy variable shows no significant effect on liquidity risk in Islamic and conventional banks related to pandemic conditions. Thus, this research is expected to facilitate bankers in making decisions to improve the quality of liquidity management in the two banking systems.

Keywords: Liquidity Risk, Islamic Banks, Conventional Banks, Covid-19.

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