Pengaruh risiko terhadap kecekapan perbankan Islam di Indonesia

Abstract

The evaluating performance and efficiency assessment are inseparable from Islamic banking management because they are vital for optimal allocation of limited resources. The increasing competitive environment often lead Islamic banking to engage in greater risk-taking activities and these must be addressed properly to ensure that Islamic banking operates efficiently. Previous literature related to efficiency and Islamic banking risks showed only a few studies which consider risk factors in assessing efficiency. These previous studies are limited to cost efficiency and its relation to credit and operational risks only. Furthermore, there are lack of studies that associate the three efficiencies namely cost, revenue and profit efficiencies with risks in Islamic banking in Indonesia. This study fills the gap by evaluating the impact of risks on these efficiencies. The study sample consisted of eleven banks operating fully on Islamic banking system in Indonesia based on the financial statements starting from 2011 to 2014. The data envelopment analysis (DEA) and panel data were used for analyzing the data. Input and input prices for DEA analysis consists of deposits, the cost of labor and fixed assets, while output and output prices are loans, financing, liquid assets, earning and other earnings. In the measurement of risk, the proxy of credit risk is allowance for loan losses whereas proxy of operational risk are the return on assets, return on equity and net income to operating expenses. The proxy of liquidity risk is capital to total assets, the proxy of mark-up risk that used is the London interbank offered rates and the management rates of Islamic banking, and the rate of return of the deposit is the proxy for withdrawal risk. A key finding shows the overall risks affect both cost and revenue efficiencies but not the profit efficiencies of Indonesia Islamic banking. Theoretically, this study extends the type of risks which affect cost and revenue efficiencies namely liquidity, mark-up and withdrawal risks. Methodologically, this study illustrates the effective use of Breusch-Pagan to select suitable model for analysis of risks in Islamic banking. Practically, the study contributes to shareholders’, investors’ and customers’ decision making on investment and loans from Islamic banks as now they can evaluate the efficiency and risk management capabilities of Islamic banks. Recommendations for future studies are to consider other factors such as inflation, gross domestic product and company size that may affect the efficiency and risk of Islamic banks. The future studies may also consider using stochastic frontier analysis to validate the results.