PENGUJIAN EMPIRIS DISIPLIN PASAR PERIODE PENJAMINAN SIMPANAN IMPLISIT DAN EKSPLISIT DI INDONESIA
Fakultas Ekonomi Universitas Stikubank
Jl. Kendeng V, Bendan Ngisor Semarang, 50241.
Korespondensi dengan Penulis:
Taswan: Telp.+62 24 841 4970; Fax.+62 24 844 1738
This article concerned the issue of market discipline and deposit insurance in Indonesia. This research aimed to examine the market discipline as a consequence of bank risk taking on period of implicit and explicit deposit insurance. The samples were commercial banks operating in Indonesia and they were tested using OLS regression models and Sub Group analysis. It showed that market discipline functioned as a consequence of bank risk taking during the guarantee period, but there was no difference in the effect of risk on market discipline between periods of implicit and explicit deposit insurance. Market discipline in Indonesia was determined more by the bank risk taking, not by the difference of deposit insurance scheme.
Key words: explicit, implicit, market discipline, risk, deposit insurance
KEUNGGULAN SISTEM KEUANGAN BERBASIS BAGI HASIL
DAN IMPLIKASINYA PADA DISTRIBUSI PENDAPATAN
International Center for Applied Finance and Economics (InterCAFE)
Institut Pertanian Bogor
Kampus IPB Baranangsiang, Jl. Padjajaran, Bogor 16144
Korespondensi dengan penulis:
Iman Sugema : Telp.+62 251 837 7896
Email: firstname.lastname@example.org; email@example.com; firstname.lastname@example.org
In this paper we attempted to answer a fundamental question whether banking system based on a profit-loss sharing (PLS) could improve welfare than an interest based banking system by developing a rigorous theoretical modeling. In the framework of production technology we firstly showed that under production certainty and competitive market both PLS and interest based systems were efficient and right. However, under an uncertain situation due to a productivity shock, we proved that only the PLS system was right. We verified our result by quantifying the effects on income distribution for both lender and borrower. Two indicators, namely the standard error of distribution and gain ratio were considered. We showed that the conventional credit market led to a serious income distribution problem where lenders did not enjoy the variability in income and did not bear any risk, but in contrast, borrowers bore all the risk. On the other side, PLS system shared the risk between lenders and borrowers. In the end of the analysis, we proposed an instrument that would improve the performance of a PLS system from lenders perspective by introducing a so-called risk pooling mechanism.
Key words: profit-loss sharing, Islamic banking, income distribution, risk pooling agent.
STRATEGI AKTIF PASIF DALAM
OPTIMALISASI PORTOFOLIO SAHAM INDEKS LQ-45
Fakultas Ekonomi Universitas Islam Sultan Agung (Unissula) Semarang
Jl. Raya Kaligawe Km.4 Semarang, 50112.
Telp. + 62 24 658 3584; Fax. +62 24 658 2455
The objective of investors to invest their money in the stock exchange was to maximize return although they were subject to constraints, primarily risk. Return was the motivating force in the investment process. It was the reward for undertaking the investment. To overcome and lesson the risk, an investor needed to make diversification through the formation of portfolio. The aim of this research was to know the return and risk from the active and passive strategy in the stocks of LQ45, for 6 months periods, August 2009 until January 2010. The active strategy used the single index model and passive used the LQ45 share itself. The results of this research indicated that active strategy (single index model): return portfolio was 5.43% and risk was 4.03%. Passive strategy (following the index): return portfolio was 2% and risk was 3.5% and there was a linear relationship between an asset’s risk and its required rate of return, the bigger the amount of return, the bigger the risk taken by investors or the reverse. The finding showed that between the two strategies, the return and risk of active strategy as a whole was bigger than that of the passive strategy.
Key words: active and passive strategy, risk, return, portfolio
PENGUKURAN EFISIENSI PERBANKAN SYARIAH BERBASIS MANAJEMEN RISIKO
Fakultas Ekonomi Universitas Brawijaya Malang
Jl. MT. Haryono No.165 Malang, 65144.
Telp +62 341 551 396; Fax. +62 341 553 834
Efficiency was very important to note because it reflected the performance of a bank. This research aimed to determine the level of efficiency of Islamic banking in Indonesia using risk management approach during the period 2005 to 2009. The samples in this research were Commercial Islamic Banks and Sharia Business Unit. Commercial Islamic Banks consisted of Bank Syariah Mandiri, Bank Syariah Mega, and Bank Muamalat. While the Sharia Business Unit consisted of Bank Permata and Bank Niaga. This research used Data Envelopment Analysis (DEA) to obtain the level of efficiency of each bank which was being investigated. Input variables used in this study were the input variable of risk such as operational risk, liquidity risk, and financing risk. While the output used was the total financing, and revenue sharing. The results showed that levels of efficiency in this research period, Bank Syariah Mandiri and Bank Muamalat always had an efficient condition. This was because the number of customers of the two banks were large and both of them had a relatively large branch network.
Key words: efficiency, risk management, Data Envelopment Analysis
Efisiensi merupakan hal yang sangat penting untuk diperhatikan karena dapat mencerminkan kinerja suatu bank. Penelitian ini bertujuan untuk mengetahui tingkat efisiensi perbankan syariah di Indonesia dengan menggunakan pendekatan manajemen risiko selama tahun 2005 sampai 2009. Sampel dalam penelitian ini adalah Bank Umum Syariah dan Unit Usaha Syariah. Bank Umum Syariah terdiri dari Bank Syariah Mandiri, Bank Syariah Mega, dan Bank Muamalat. Sedangkan Unit Usaha Syariah yang terdiri dari UUS Permata dan UUS CIMB Niaga. Penelitian ini menggunakan metode analisis Data Envelopment Analysis (DEA) untuk mendapatkan tingkat efisiensi masing-masing bank yang diteliti. Variabel input yang digunakan dalam penelitian ini adalah variabel input risiko yang terdiri dari risiko operasional, risiko likuiditas, dan risiko pembiayaan, sedangkan output yang digunakan adalah total pembiayaan, dan pendapatan bagi hasil. Hasil penelitian ini menemukan bahwa tingkat efisiensi pada periode penelitian, Bank Muamalat dan Bank Mandiri Syariah selalu mengalami kondisi yang efisien. Hal ini, selain dikarenakan jumlah nasabah kedua bank tersebut besar, tetapi juga mempunyai jaringan kantor yang relatif banyak.
Kata-kata Kunci: efisiensi, manajemen risiko, Data Envelpoment Analysis.
DIVERSIFIKASI KREDIT TERHADAP PROFITABILITAS DAN PROBABILITAS KEGAGALAN BANK
Jurusan Manajemen Fakultas Bisnis Universitas Kristen Duta Wacana
Jl. Dr. Wahidin S. No. 05-25 Yogyakarta, 55224
Telp. + 62 274 563 929; Faks. +62 274 513235
Loan diversification in the banking industry was an interesting topic to be studied. Unlike previous research, this study not only examined the effect of loan diversification on profitability but also on the probability of default. Using panel data from banks listed on Indonesia Stock Exchange in 2004-2008 with FEM (fixed effect model) approach and weighting: cross section weight procedures, the results supported previous research that a high risk decreased the relationship between the diversification of loan and the profitability. However, the relationship between the diversification of loan and a probability of default decreased even when a high risk. The arguments for explaining this finding was that the probability of default was not an absolute measurement that described an actual probability of default. In addition, this invention in banking practices related with the write-off action that could minimize the credit risk (NPL) so that the probability of default decreased especially for private banks.
Key words: loan diversification, profitability, risk, probability of default