Market Risk on Bank Profitability: Evidence from Indonesian State-Owned Banks

Monica Suprajaya Duta Nagari, Gusganda Suria Manda

Sari


The objective of this study is to analyze the effect of market risk, as proxied by interest rate risk and foreign exchange risk, on the profitability of State-owned banks in Indonesia within the period 2013-2020. Interest rate risk is proxied by net interest margin (NIM), foreign exchange risk is proxied by net open position (NOP), and bank profitability is proxied by return on assets (ROA). Four State-owned banks were chosen as a sample by employing a saturated sampling technique. The data were processed using the SPSS 26th version by performing multiple linear regression analysis. The findings of this study discover that interest rate risk (NIM) partially has a positive and significant effect on State-owned banks’ profitability (ROA). Conversely, foreign exchange risk (NOP) partially has a negative and not significant effect on State-owned banks’ profitability (ROA). Interest rate risk (NIM) and foreign exchange risk (NOP) simultaneously have a significant impact on State-owned banks’ profitability (ROA).

Teks Lengkap:

PDF (English)

Referensi


Anggraeni, A., Basuki, B., & Setiawan, R. (2022). Factors Influencing on Bank Capital and Profitability: Evidence of Government Banks in Indonesia. The Journal of Asian Finance, Economics and Business, 9(2), 185–191. https://doi.org/10.13106/JAFEB.2022.VOL9.NO2.0185

Badawi, A. (2017). Effect of Credit Risk, Liquidity Risk, and Market Risk Banking to Profitability Bank (Study on Devised Banks in Indonesia Stock Exchange). European Journal of Business and Management, 9(29).

Cuandra, F., & Setiawan, I. (2020). FACTORS THAT AFFECT THE PROFABILITY OF CONVENTIONAL BANKS OF BATAM CITY. International Journal of Economics, Business and Accounting Research, 4(4).

Ebenezer, O. O., Islam, Md. A., Yusoff, W. S., & Rahman, S. (2019). The Effects of Liquidity Risk and Interest-Rate Risk on Profitability and Firm Value among Banks in ASEAN-5 Countries. Journal of Reviews on Global Economics, 8, 337–349. https://doi.org/10.6000/1929-7092.2019.08.29

Fahmi, I. (2018). Manajemen Risiko—Teori, Kasus, dan Solusi. Alfabeta.

Jahrotunnupus, N. (2021). Analisis Pengaruh Risiko Kredit, Risiko Pasar dan Risiko Operasional Terhadap Profitabilitas pada Bank Umum BUMN yang Terdaftar di BEI Periode 2013-2020. Jurnal Ilmiah Ekonomi Dan Bisnis, 12(2), 157–163. https://doi.org/10.33087/eksis.v12i2.265

Kassi, D. F., Rathnayake, D. N., Louembe, P. A., & Ding, N. (2019). Market Risk and Financial Performance of Non-Financial Companies Listed on the Moroccan Stock Exchange. Risks, 7(1), 20. https://doi.org/10.3390/risks7010020

Korompis, R. R. N., Murni, S., & Untu, V. (2019). PENGARUH RISIKO PASAR (NIM), RISIKO KREDIT (NPL), DAN RISIKO LIKUIDITAS (LDR) TERHADAP KINERJA KEUANGAN PERBANKAN (ROA) PADA BANK YANG TERDAFTAR DI LQ 45 PERIODE 2012-2018. Jurnal EMBA, 8(1), 175–184.

Lessambo, F. I. (2021). Foreign Exchange and Money Markets Transactions. In F. I. Lessambo, International Finance (pp. 61–78). Springer International Publishing. https://doi.org/10.1007/978-3-030-69232-2_5

Mansyur, N. (2018). Pengaruh Risiko Pasar terhadap Profitabilitas Perusahaan Subsektor Bank pada Bursa Efek Indonesia. Jurnal Maksipreneur: Manajemen, Koperasi, Dan Entrepreneurship, 7(2), 197. https://doi.org/10.30588/jmp.v7i2.360

Mosey, A. C., Tommy, P., & Untu, V. (2018). PENGARUH RISIKO PASAR DAN RISIKO KREDIT TERHADAP PROFITABILITAS PADA BANK UMUM BUMN YANG TERDAFTAR DI BEI PERIODE 2012-2016. Jurnal EMBA, 6(3), 1338–1347.

Mulyani, E. L. (2020). PENGARUH RASIO GAP DAN RASIO VALUTA ASING TERHADAP PROFITABILITAS (Penelitian pada PT Bank Central Asia Tbk). BanKu: Jurnal Perbankan Dan Keuangan, 1(2), 107–113.

Onyiriuba, L. (2016). Market Risk, Interest Rates and Bank Intermediary Role in Developing Economies. In Bank Risk Management in Developing Economies (pp. 443–457). Elsevier. https://doi.org/10.1016/B978-0-12-805479-6.00023-7

Puspitasari, E., Sudiyatno, B., Aini, N., & Anindiansyah, G. (2021). The Relationship Between Net Interest Margin and Return on Asset: Empirical Study of Conventional Banking in Indonesia. Academic Journal of Interdisciplinary Studies, 10(3), 362. https://doi.org/10.36941/ajis-2021-0090

Rachmaniyah, F., Nugroho, A. Y., & Fasa, M. I. (2021). The Nexus Between CAMELS Index Toward Net Profit. Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 3(2), 324–334. https://doi.org/10.47467/alkharaj.v3i2.388

Salim, K., & Setiawan, I. (2020). Determining Factors of Banking Performance in Indonesia. International Journal of Innovative Technology and Exploring Engineering, 9(5), 1507–1512. https://doi.org/10.35940/ijitee.A5077.039520

Sukma, N., Saerang, I. S., & Tulung, J. E. (2019). PENGARUH DANA PIHAK KETIGA, RISIKO KREDIT, RISIKO PASAR DAN RISIKO OPERASIONAL TERHADAP PROFITABILITAS PADA BANK KATEGORI BUKU 2 PERIODE 2014-2017. Jurnal EMBA, 7(3), 2751–2760.

Tehresia, S., Mesrawati, Dewi, M., Wijaya, E. Y., & Billyandi, C. (2021). PENGARUH RISIKO KREDIT, RISIKO LIKUIDITAS, RISIKO PASAR, DAN RISIKO OPERASIONAL TERHADAP PROFITABILITAS PADA PERUSAHAAN SEKTOR PERBANKAN. Syntax Literate: Jurnal Ilmiah Indonesia, 6(9).

Varadigna, A. & Suhadak. (2017). PENGARUH RISIKO VALUTA ASING DAN RISIKO PASAR TERHADAP PROFITABILITAS (Studi pada Bank Devisa yang Terdaftar di BEI Periode 2013-2015). Jurnal Administrasi Bisnis, 47(1).

Yudha, A., Chabachib, M., & Pangestuti, I. R. D. (2018). ANALYSIS OF THE EFFECT OF NPL, NIM, NON INTEREST INCOME, AND LDR TOWARD ROA WITH SIZE AS CONTROL VARIABLES (Differences Study on Domestic and Foreign Banks Listed on BEI Period 2010-2015). JURNAL BISNIS STRATEGI, 26(2), 100–113. https://doi.org/10.14710/jbs.26.2.100-113




DOI: https://doi.org/10.37531/yum.v5i2.1590

Refbacks

  • Saat ini tidak ada refbacks.


Lisensi Creative Commons
Ciptaan disebarluaskan di bawah Lisensi Creative Commons Atribusi-BerbagiSerupa 4.0 Internasional
Web Analytics Made Easy - StatCounter