Analisis Likuiditas Bank Umum Syariah dengan Pendekatan Autoregressive Distributed Lag (ARDL)
Keywords:
Liquidity, internal factors, external factors and Sharia Commercial Bank
Abstract
This study aims to determine the influence of internal and external factors on the liquidity of Islamic banks. The research observation period was from January 2015 to April 2019 using the autoregressive distributed lag (ARDL) data processing method. ARDL is used to determine the short-term and long-term independent variables on the liquidity variable. The results of data processing found that CAR has a significant negative effect on FDR, but it is not significant in the short term. Likewise, ROA has a significant positive effect on FDR only in the long term. NPF in the short and long term has a significant negative effect on FDR. Then BOPO has a significant positive effect on FDR only in the long term. The BI Rate has a short-term and long-term effect on FDR, but in the short term, the BI Rate has a significant positive effect, while in the long term, the BI Rate has a significant negative effect on FDR. Inflation has a negative effect but does not significantly affect FDR in the long and short term. IPI in the long and short term has a significant positive effect on FDR.
References
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Afkar, T. (2017). Pengaruh Profitabilitas Terhadap Likuiditas Bank Umum Syariah di Indonesia. In Seminar Nasional Hasil Penelitian Universitas Kanjuruhan Malang (pp. 629–638).
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Anggraini, M. (2019). Islamic Banking Development and Economic Growth: a Case of Indonesia. Asian Journal of Islamic Management (AJIM), 01(01), 51–65.
Bani, F., & Yaya, R. (2016). Risiko Likuiditas Pada Perbankan Konvensional dan Syariah di Indonesia. Jurnal Riset Akuntansi & Bisnis, 16(01), 1–26.
Buchory, H. A. (2014). Analysis of The Effect of Capital, Credit Risk and Profitability to Implementation Banking Intermediation Function (Study on Region Development Bank All Over Indonesia Year 2012). International Journal of Business, Economics and Law, 04(01), 132–143.
Dewi, F. K., & Sudarsono, H. (2021). Analisis Profitabilitas Bank Syariah di Indonesia Pendekatan Autoregressive distributed lag (ARDL). Al-Mashrafiyah : Jurnal Ekonomi, Keuangan Dan Perbankan Syariah, 05(01), 59–74.
Fadillah, E. N., & Aji, T. S. (2018). Pengaruh Faktor Internal dan Inflasi Terhadap Likuiditas pada Bank Pembangunan Daerah di Indonesia. Jurnal Ilmu Manajemen, 06(03), 327–330.
Fathurrahman, A., & Rusdi, F. (2019). Analisis Faktor-Faktor yang Mempengaruhi Likuiditas Bank Syariah di Indonesia Menggunakan Metode Vector Error Correction Model (VECM). Al-Masraf : Jurnal Lembaga Keuangan Dan Perbankan, 04(02), 117–126.
Ichwan, M. C., & Ryandono, M. N. H. (2016). Faktor-Faktor yang Berpengaruh Terhadap Likuiditas Bank Syariah. Jurnal Ekonomi Syariah Teori Dan Terapan, 03(02), 144–157.
Jannah, M., & Gunarso, P. (2020). Pengaruh Non Performing Financing (NPF) dan Beban Operasional Pendapatan Operasional (Bopo) Terhadap Financing Deposit Ratio (FDR) di Bank Syariah Indonesia. Jurnal Ilmiah Bisnis Dan Perpajakan, 02(01), 1–17.
Jedidia, K. Ben, & Hamza, H. (2015). Determinants of Liquidity Risk in Islamic Banks: A Panel Study. EJBM: European Journal of Business and Management, 07(16), 137–146.
Khalifaturofi’ah, S. O., & Nasution, Z. (2016). Analisis Faktor-fFaktor yang Mempengaruhi Kinerja Keuangan Perbankan di Indonesia. Masharif Al-Syariah: Jurnal Ekonomi Dan Perbankan Syariah, 01(02), 42–64.
Kumar, V., & Sayani, H. (2015). Application of CAMEL Model on the GCC Islamic Banks: 2008-2014. Journal of Islamic Banking and Finance, 03(02), 1–14.
Lin, D. H., Dung, T. M., Hang, L. T. T., & Ma, D. N. (2018). Determinants of Islamic Banks Liquidity and Lessons for Vietnam Banks. International Journal of Business, Economics and Law, 17(05), 13–23.
Majid, M. S. A., & Ulina, S. (2020). Does the 2008-Global Financial Crisis Matter for The Determinants of Conventional and Islamic Banking Performances in Indonesia? Jurnal Ekonomi Dan Keuangan Islam |Journal of Islamic Economic and Finance, 06(02), 77–90.
MS, A. M. H. (2012). The Influence of Transmission Of Dual Monetary Systemand Financial Ratio To The Financing To Deposit Ratio (FDR) Of Islamic Banks In Indonesia (2004 – 2011). Jurnal Hukum Islam, 10(01), 101–115.
Noerainon, C., & Handayani, S. (2016). Pengaruh Capital Adequacy Ratio (CAR), Beban Operasional Pendapatan Operasional (BOPO), Return on Asset (ROA) dan Net Interest Margin (NIM) terhadap Financing Deposit Ratio (FRD) di PT. BPRS Bhakti Sumekar Sumenep (Periode 2011-2015). Iqtishadia: Jurnal Ekonomi & Perbankan Syariah, 03(01), 136–166.
Permataningayu, G., & Mahdaria, S. (2019). The Effect of Non-Performing Financing and Financing to Deposit Ratio on Islamic Banks Financing in Indonesia. Asian Journal of Islamic Management (AJIM), 01(01), 28–37. https://doi.org/10.20885/ajim.vol1.iss1.art3
Prihatiningsih. (2012). Pengaruh DPK, Capital Adequecy Ratio (CAR) , Imbal Hasil Sertifikat Bank Indonesia Syariah (SBIS), Imbal Hasil Sertifikat Investasi Mudharabah antar Bank Syariah (SIMA), dan Non Performing Financing (NPF) Terhadap Financing To Deposit Ratio (FDR) (Studi P. Universitas Dipenogoro.
Rahmah, A. Z., & Armina, S. H. (2020). Macro and Micro Determinants of The Non-Performing Finance: The Case of Indonesian Islamic bank. JEKI: Jurnal Ekonomi & Keuangan Islam, 06(01), 34–41.
Rahman, T. (2020). The Influence of Financial Ratios on Non Performing Financing of The Sharia Rural Banks of Special Region of Yogyakarta (BPRS DIY) Period 2015 -2018. Khusna Fatmawati, 02(01), 25–35.
Ramadhani, A. N., & Indriani, A. (2016). Analisis Pengaruh Size, Capital Adequacy Ratio (CAR), Return on Assets (ROA), Non Performing Loan (NPL), dan Inflasi Terhadap Loan to Deposit Ratio (LDR). Diponegoro Journal of Management, 05(02), 392–406.
Rani, L. N. (2017). Analisis Pengaruh Faktor Eksternal dan Internal Perbankan Terhadap Likuiditas Perbankan Syariah di Indonesia Periode Januari 2003-Oktober 2015. Al-Uqud: Journal of Islamic Economic, 01(01), 41–58.
Santoso, A. L., & Sukihanjani, T. (2016). Analisis Faktor-Faktor yang Mempengaruhi Likuiditas Perbankan di Indonesia. Journal & Proceeding FEB UNSOED, 03(01), 4–15.
Sengkey, J. I. ., Murni, S., & Tulung, J. E. (2018). Analisis Faktor-Faktor yang Mempengaruhi Risiko Likuiditas Bank (Studi Kasus Pada Bank Umum Swasta Nasional yang Terdaftar di BEI Periode 2012-2015). Jurnal Manajemen, Bisnis Dan Akuntansi, 06(04), 3078–3087.
Sholikhah, N. U., & Wardani, D. T. K. (2018). Analisis Likuiditas Pada Bank Syariah di Indonesia. Journal of Economics Research and Social Sciences, 02(02), 92–99.
Sopan, J., & Dutta, A. (2018). Determinants of Liquidity Risk in Indian Banks: A Panel Data Analysis. Asian Journal of Research in Banking and Finance, 08(06), 47–59.
Sudarmawanti, E., & Pramono, J. (2017). Pengaruh CAR, NPL, BOPO, NIM Dan LDR terhadap ROA (Studi kasus pada Bank Perkreditan Rakyat di Salatiga yang Terdaftar di Otoritas Jasa Keuangan tahun 2011-2015). Jurnal Ilmiah Among Makarti, 10(19), 1–18.
Sudarsono, H. (2017). Analisis Efektifitas Transmisi Kebijakan Moneter Konvensional dan Syariah dalam Mempengaruhi Tingkat Inflasi. Jurnal Ekonomi Dan Keuangan Islam, 03(02), 53–64.
Sudarsono, H., & Saputri, M. A. (2018). The Effect of Financial Performance Toward Profit-Sharing Rate on Mudharabah Deposit of Sharia Banking in Indonesia. Muqtasid: Journal of Islamic Economics and Banking, 09(01), 82–92.
Suhartatik, N., & Kusumaningtias, R. (2013). Determinan Financing To Deposit Ratio Perbankan Syariah di Indonesia (2008-2012). Jurnal Ilmu Manajemen, 01(04), 1176–1185.
Sukmana, R., & Suryaningtyas, S. (2016). Determinants of Liquidity Risk in Indonesian Islamic and Conventional Banks: A Panel Regression. Al-Iqtishad: Journal of Islamic Economics, 08(02), 187–200.
Susantun, I., Mifrahi, M. N., & Sudarsono, H. (2019). Analisis Resiko Likuiditas Bank Syariah. Conference on Islamic Management, Accounting, and Economics (CIMAE), 2, 111–118.
Syahri, N. A., & Harjito, D. A. (2020). The Effect of Financing Sing The Principle of Profit-Loss Sharing on Profitability Level of Commercial Islamic Bank Registered in Bank Indonesia. Asian Journal of Islamic Management (AJIM), 02(01), 46–58.
Utami, M. S. M., & Muslikhati. (2019). Pengaruh Dana Pihak Ketiga (DPK), Capital Adequacy Ratio (CAR), Non Performing Financing (NPF) Terhadap Likuiditas Bank Umum Syariah (BUS) Periode 2015-2017. Falah: Jurnal Ekonomi Syariah, 04(01), 33–43.
Waemustafa, W., & Sukri, S. (2016). Systematic and Unsystematic Risk Determinants of Liquidity Risk Between Islamic and Conventional Banks. International Journal of Economics and Financial Issues, 06(04), 1321–1327.
Widarjono, A. (2013). Ekonometrika Pengantar dan Aplikasinya (5th ed.). Yogyakarta: UPP STIM YKPN.
Widarjono, A. (2020). Stability of Islamic Banks in Indonesia: Autoregressive distributed lag Approach. Jurnal Keuangan Dan Perbankan, 24(01), 40–52.
Zaretta, B., & Yovita, L. (2019). Harga Saham, Nilai Tukar Mata Uang dan Tingkat Suku Bunga Acuan dalam Model Autoregressive distributed lag (ARDL). Jurnal Penelitan Ekonomi Dan Bisnis, 04(01), 9–22.
Afkar, T. (2017). Pengaruh Profitabilitas Terhadap Likuiditas Bank Umum Syariah di Indonesia. In Seminar Nasional Hasil Penelitian Universitas Kanjuruhan Malang (pp. 629–638).
Aldeen, K. N., Siswahto, E., Herianingrum, S., Mhmmd, Z., & Al, W. (2020). Determinants of Bank Liquidity in Syria : a Comparative Study Between Islamic and Conventional Banks. International Journal of Accounting, Finance and Business, 05(26), 33–49.
Anggraini, M. (2019). Islamic Banking Development and Economic Growth: a Case of Indonesia. Asian Journal of Islamic Management (AJIM), 01(01), 51–65.
Bani, F., & Yaya, R. (2016). Risiko Likuiditas Pada Perbankan Konvensional dan Syariah di Indonesia. Jurnal Riset Akuntansi & Bisnis, 16(01), 1–26.
Buchory, H. A. (2014). Analysis of The Effect of Capital, Credit Risk and Profitability to Implementation Banking Intermediation Function (Study on Region Development Bank All Over Indonesia Year 2012). International Journal of Business, Economics and Law, 04(01), 132–143.
Dewi, F. K., & Sudarsono, H. (2021). Analisis Profitabilitas Bank Syariah di Indonesia Pendekatan Autoregressive distributed lag (ARDL). Al-Mashrafiyah : Jurnal Ekonomi, Keuangan Dan Perbankan Syariah, 05(01), 59–74.
Fadillah, E. N., & Aji, T. S. (2018). Pengaruh Faktor Internal dan Inflasi Terhadap Likuiditas pada Bank Pembangunan Daerah di Indonesia. Jurnal Ilmu Manajemen, 06(03), 327–330.
Fathurrahman, A., & Rusdi, F. (2019). Analisis Faktor-Faktor yang Mempengaruhi Likuiditas Bank Syariah di Indonesia Menggunakan Metode Vector Error Correction Model (VECM). Al-Masraf : Jurnal Lembaga Keuangan Dan Perbankan, 04(02), 117–126.
Ichwan, M. C., & Ryandono, M. N. H. (2016). Faktor-Faktor yang Berpengaruh Terhadap Likuiditas Bank Syariah. Jurnal Ekonomi Syariah Teori Dan Terapan, 03(02), 144–157.
Jannah, M., & Gunarso, P. (2020). Pengaruh Non Performing Financing (NPF) dan Beban Operasional Pendapatan Operasional (Bopo) Terhadap Financing Deposit Ratio (FDR) di Bank Syariah Indonesia. Jurnal Ilmiah Bisnis Dan Perpajakan, 02(01), 1–17.
Jedidia, K. Ben, & Hamza, H. (2015). Determinants of Liquidity Risk in Islamic Banks: A Panel Study. EJBM: European Journal of Business and Management, 07(16), 137–146.
Khalifaturofi’ah, S. O., & Nasution, Z. (2016). Analisis Faktor-fFaktor yang Mempengaruhi Kinerja Keuangan Perbankan di Indonesia. Masharif Al-Syariah: Jurnal Ekonomi Dan Perbankan Syariah, 01(02), 42–64.
Kumar, V., & Sayani, H. (2015). Application of CAMEL Model on the GCC Islamic Banks: 2008-2014. Journal of Islamic Banking and Finance, 03(02), 1–14.
Lin, D. H., Dung, T. M., Hang, L. T. T., & Ma, D. N. (2018). Determinants of Islamic Banks Liquidity and Lessons for Vietnam Banks. International Journal of Business, Economics and Law, 17(05), 13–23.
Majid, M. S. A., & Ulina, S. (2020). Does the 2008-Global Financial Crisis Matter for The Determinants of Conventional and Islamic Banking Performances in Indonesia? Jurnal Ekonomi Dan Keuangan Islam |Journal of Islamic Economic and Finance, 06(02), 77–90.
MS, A. M. H. (2012). The Influence of Transmission Of Dual Monetary Systemand Financial Ratio To The Financing To Deposit Ratio (FDR) Of Islamic Banks In Indonesia (2004 – 2011). Jurnal Hukum Islam, 10(01), 101–115.
Noerainon, C., & Handayani, S. (2016). Pengaruh Capital Adequacy Ratio (CAR), Beban Operasional Pendapatan Operasional (BOPO), Return on Asset (ROA) dan Net Interest Margin (NIM) terhadap Financing Deposit Ratio (FRD) di PT. BPRS Bhakti Sumekar Sumenep (Periode 2011-2015). Iqtishadia: Jurnal Ekonomi & Perbankan Syariah, 03(01), 136–166.
Permataningayu, G., & Mahdaria, S. (2019). The Effect of Non-Performing Financing and Financing to Deposit Ratio on Islamic Banks Financing in Indonesia. Asian Journal of Islamic Management (AJIM), 01(01), 28–37. https://doi.org/10.20885/ajim.vol1.iss1.art3
Prihatiningsih. (2012). Pengaruh DPK, Capital Adequecy Ratio (CAR) , Imbal Hasil Sertifikat Bank Indonesia Syariah (SBIS), Imbal Hasil Sertifikat Investasi Mudharabah antar Bank Syariah (SIMA), dan Non Performing Financing (NPF) Terhadap Financing To Deposit Ratio (FDR) (Studi P. Universitas Dipenogoro.
Rahmah, A. Z., & Armina, S. H. (2020). Macro and Micro Determinants of The Non-Performing Finance: The Case of Indonesian Islamic bank. JEKI: Jurnal Ekonomi & Keuangan Islam, 06(01), 34–41.
Rahman, T. (2020). The Influence of Financial Ratios on Non Performing Financing of The Sharia Rural Banks of Special Region of Yogyakarta (BPRS DIY) Period 2015 -2018. Khusna Fatmawati, 02(01), 25–35.
Ramadhani, A. N., & Indriani, A. (2016). Analisis Pengaruh Size, Capital Adequacy Ratio (CAR), Return on Assets (ROA), Non Performing Loan (NPL), dan Inflasi Terhadap Loan to Deposit Ratio (LDR). Diponegoro Journal of Management, 05(02), 392–406.
Rani, L. N. (2017). Analisis Pengaruh Faktor Eksternal dan Internal Perbankan Terhadap Likuiditas Perbankan Syariah di Indonesia Periode Januari 2003-Oktober 2015. Al-Uqud: Journal of Islamic Economic, 01(01), 41–58.
Santoso, A. L., & Sukihanjani, T. (2016). Analisis Faktor-Faktor yang Mempengaruhi Likuiditas Perbankan di Indonesia. Journal & Proceeding FEB UNSOED, 03(01), 4–15.
Sengkey, J. I. ., Murni, S., & Tulung, J. E. (2018). Analisis Faktor-Faktor yang Mempengaruhi Risiko Likuiditas Bank (Studi Kasus Pada Bank Umum Swasta Nasional yang Terdaftar di BEI Periode 2012-2015). Jurnal Manajemen, Bisnis Dan Akuntansi, 06(04), 3078–3087.
Sholikhah, N. U., & Wardani, D. T. K. (2018). Analisis Likuiditas Pada Bank Syariah di Indonesia. Journal of Economics Research and Social Sciences, 02(02), 92–99.
Sopan, J., & Dutta, A. (2018). Determinants of Liquidity Risk in Indian Banks: A Panel Data Analysis. Asian Journal of Research in Banking and Finance, 08(06), 47–59.
Sudarmawanti, E., & Pramono, J. (2017). Pengaruh CAR, NPL, BOPO, NIM Dan LDR terhadap ROA (Studi kasus pada Bank Perkreditan Rakyat di Salatiga yang Terdaftar di Otoritas Jasa Keuangan tahun 2011-2015). Jurnal Ilmiah Among Makarti, 10(19), 1–18.
Sudarsono, H. (2017). Analisis Efektifitas Transmisi Kebijakan Moneter Konvensional dan Syariah dalam Mempengaruhi Tingkat Inflasi. Jurnal Ekonomi Dan Keuangan Islam, 03(02), 53–64.
Sudarsono, H., & Saputri, M. A. (2018). The Effect of Financial Performance Toward Profit-Sharing Rate on Mudharabah Deposit of Sharia Banking in Indonesia. Muqtasid: Journal of Islamic Economics and Banking, 09(01), 82–92.
Suhartatik, N., & Kusumaningtias, R. (2013). Determinan Financing To Deposit Ratio Perbankan Syariah di Indonesia (2008-2012). Jurnal Ilmu Manajemen, 01(04), 1176–1185.
Sukmana, R., & Suryaningtyas, S. (2016). Determinants of Liquidity Risk in Indonesian Islamic and Conventional Banks: A Panel Regression. Al-Iqtishad: Journal of Islamic Economics, 08(02), 187–200.
Susantun, I., Mifrahi, M. N., & Sudarsono, H. (2019). Analisis Resiko Likuiditas Bank Syariah. Conference on Islamic Management, Accounting, and Economics (CIMAE), 2, 111–118.
Syahri, N. A., & Harjito, D. A. (2020). The Effect of Financing Sing The Principle of Profit-Loss Sharing on Profitability Level of Commercial Islamic Bank Registered in Bank Indonesia. Asian Journal of Islamic Management (AJIM), 02(01), 46–58.
Utami, M. S. M., & Muslikhati. (2019). Pengaruh Dana Pihak Ketiga (DPK), Capital Adequacy Ratio (CAR), Non Performing Financing (NPF) Terhadap Likuiditas Bank Umum Syariah (BUS) Periode 2015-2017. Falah: Jurnal Ekonomi Syariah, 04(01), 33–43.
Waemustafa, W., & Sukri, S. (2016). Systematic and Unsystematic Risk Determinants of Liquidity Risk Between Islamic and Conventional Banks. International Journal of Economics and Financial Issues, 06(04), 1321–1327.
Widarjono, A. (2013). Ekonometrika Pengantar dan Aplikasinya (5th ed.). Yogyakarta: UPP STIM YKPN.
Widarjono, A. (2020). Stability of Islamic Banks in Indonesia: Autoregressive distributed lag Approach. Jurnal Keuangan Dan Perbankan, 24(01), 40–52.
Zaretta, B., & Yovita, L. (2019). Harga Saham, Nilai Tukar Mata Uang dan Tingkat Suku Bunga Acuan dalam Model Autoregressive distributed lag (ARDL). Jurnal Penelitan Ekonomi Dan Bisnis, 04(01), 9–22.
