A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA ... · Indonesia, Jepang, Malaysia, Korea Selatan, Spanyol, dan Thailand. Sampel yang digunakan sebanyak 436 data annual report

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A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,

CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,

AND THAILAND BANKING INDUSTRY

COVER PAGE

UNDERGRADUATE THESIS

Submitted to Complete the Requirement to Achieve Bachelor of Economics

Degree in Sebelas Maret University

Submitted by:

ARDYNA RAHMITA DEWI

NIM: F0312020

ACCOUNTING DEPARTMENT

ECONOMICS AND BUSINESS FACULTY

SEBELAS MARET UNIVERSITY

SURAKARTA

2016

perpustakaan.uns.ac.id digilib.uns.ac.id

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ABSTRAK




Oleh:

ARDYNA RAHMITA DEWI

F0312020

Penelitian ini bertujuan untuk mengetahui pengaruh Risiko Kegagalan pada Bank

yang diwakili oleh variable Risk dengan Z-score, ukuran bank yang diwakili oleh

Size dengan total aset pada bank, modal bank yang diwakili oleh Capital dengan

rasio modal tier-1 terhadap aset tertimbang risiko, cakupan bank yang diwakili

oleh Scope dengan rasio pendapatan lain-lain terhadap total pendapatan,

pengambilan uang secara bersama-sama yang diwakili oleh Run dengan rasio

liabilitas jangka pendek terhadap total liabilitas, dan praktek fractional-reserve

yang diwakili oleh Practice dengan rasio kas terhadap total aset. Penelitian ini

dilakukan di delapan negara berdasarkan GDP, yaitu Australia, Tiongkok,

Indonesia, Jepang, Malaysia, Korea Selatan, Spanyol, dan Thailand. Sampel yang

digunakan sebanyak 436 data annual report dari masing-masing bank yang

terdaftar di bursa efek negara-negara tersebut periode 2011-2014. Hasil penelitian

menunjukkan jika risiko kegagalan di bank berbeda di tiap-tiap negara, yang

paling berisiko adalah Spanyol dan yang paling tidak berisiko adalah Tiongkok.

Uji hipotesis menujukkan jika variabel-variabel yang mempengaruhi risiko

kegagalan bank adalah ukuran bank dan pengambilan uang secara bersama-sama

di bank dengan signifikansi 1% dan modal bank dengan signifikansi

10%.Variabel-variabel lain, yaitu cakupan bank dan praktik fractional-reserve

tidak mempengaruhi risiko kegagalan pada bank.

Kata kunci: Risiko Kegagalan Bank, Ukuran Bank, Modal Bank, Cakupan Bank,

Bank Run, Praktik Perbankan, Perbankan.


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ABSTRACT




By:

ARDYNA RAHMITA DEWI

F0312020

The objective of this research is to determine the effect of bank failure risk in

banking industry. Bank failure risk is represented with Z-score, bank size with

total assets in banks, bank capital represented with tier-1 capital to risk weighted

assets ratio, bank scope represented with other operating income to total revenue

ratio, bank run represented with short term debt to total debt ratio, and bank

practice represented with cash to total assets ratio. This study is conducted in eight

countries: Australia, China, Indonesia, Japan, Malaysia, South Korea, Spain, and

Thailand. The sample used is 436 annual report data from each listed bank in each

countries periods 2011-2014. This study results show that bank failure risk is

different in each GDP rates, the riskier countries is Spain while the least riskier is

China. The hypothesis testing show variables that affecting bank failure risk are

bank size and bank run with 1% significance and bank capital with 10%

significance. Other variables, bank scope and bank practice are not affecting bank

failure risk.

Keywords: Bank Failure Risk, Bank Size, Bank Capital, Bank Scope, Bank Run,

Bank Practice, Banking.


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HALAMAN PENGESAHAN




Created by:

ARDYNA RAHMITA DEWI

NIM: F0312020

Approved and Authorized by the Examiners Team

On June 2016

Chairman : Drs. Agus Budiatmanto M.Si.,Ak ________

NIP. 195912161990031001

Secretary : Ibrahim Fatwa Wijaya S.E., M.Sc ________

NIP. 198307172014041001

Supervisor : Agung Nur Probohudono, SE., M.Si., PhD, Ak, CA ________

NIP. 19830204 2008011003

Ascertain,

Head of Accounting Department

Drs. Santoso Tri Hananto, M.Si., Akt

NIP. 196909241994021001


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HALAMAN PERSETUJUAN PEMBIMBING




Skripsi

Created by:

Ardyna Rahmita Dewi

NIM: F0312020

Approved by Advisor

On May 30th, 2016

Supervisor,

Agung Nur Probohudono, SE., M.Si., PhD, Ak

NIP. 19830204 200801 1 003

Ascertain,

Head of Accounting Department

Drs. Santoso Tri Hananto, M.Si., Akt.


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NIP. 196909241994021001

STATEMENT OF ORIGINALITY

The undersigned is a student of Economics and Business Faculty, Universitas

Sebelas Maret:

Name : Ardyna Rahmita Dewi

Student ID : F0312020

Department : Accountancy

Skripsi Title : A Comparative Study of Bank Failure Risk in Australia,

China, Indonesia, Japan, Malaysia, South Korea, Spain,

and Thailand Banking Industry

Declares that this skripsi has not previously been submitted for a degree or

diploma in any institution. To the best of my knowledge and belief, this skripsi

contains no material previously published or written by another person except

where due reference is made in this skripsi itself.

Surakarta, May 30th 2016

Ardyna Rahmita Dewi

NIM.F0312020


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QUOTES

“Under the flower petals raining down I run, so lost in this maze. Even if I

fall and hurt, I’ll endlessly run after my dreams”

(Bangtan Boys, Young Forever)

“Even when our eyes are closed, there's a whole world that exists outside

ourselves and our dreams”

(Hiromu Arakawa)

“Don't just give up, life is about getting knocked down over and over, but still

getting up each time. If you keep getting up, you win”

(Ai Yazawa)

“Fear is not evil. It tells you what you weakness is. And once you know your

weakness, you can become stronger as well as kinder”

(Gildarts)


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DEDICATION

With all my admiration, honesty, perseverance, determination, and love, I

dedicate this skripsi to all people related to me for their forbearance, attention,

support, and affection.

To my parent.

To my big brother.

To my family.


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ACKNOWLEDGEMENT

Assalamualaikum Wr. Wb.

My greatest gratitude to Allah SWT for Thy blessing and hidayat so I can

finish this skripsi. It was a long journey for me to come this far in my life and I

cannot be more grateful for the courage Thy give to me so I can become a better

person this day. After years acting like a little kid who seems like she will never

grow up, here I come to my best position in 21 years of my life. It still feel like a

dream for achieving this greatest part of my life.

My deepest gratitude is to my skripsi supervisor, Agung Nur Probohudono,

S.E., M.Si., Ph.D., Ak., CA, I have been fortunate to have him as my supervisor

and motivator for his patience and support that helped me finish this skripsi. My

deepest gratitude also for my academic supervisor Mr Payamta for his advice to

me in my recent 4 years as student of Faculty of Economics and Business

Universitas Sebelas Maret.

I would like to acknowledge Prof. Dr. Ravik Karsidi, M.Si., Head of

Universitas Sebelas Maret, Dr. Hunik Sri Runing Sawitri, M.Si., Dean of Faculty

of Economics and Business Universitas Sebelas Maret, and Drs. Santosa Tri

Hananto, M.Si., Ak., Head of Accounting Department Faculty of Economics and

Business Universitas Sebelas Maret.

My organizations during my time here, P4M Faculty of Economics and

Business Universitas Sebelas Maret. UKM Taekwondo UNS, thank you for

Sabeumnim Alim Rojaya, coach of UKM Taekwondo UNS for his advice every

time after practice, and all my friends who fight and learn on how to get stronger

without losing our kindness. We all learn together on how to use the power not for

harm others but to protect those we love. My superhero team, class A Accounting

2012, all hero comes from beneath, that’s what I learn in class. We’re not try to

stand up high alone, we try together as a team and overcome every obstacles in

front of us.

My best friends in my class, Aulia for her patience and for not taking my

behavior seriously when I get over myself and saying a lot of humor that

sometimes other people cannot stand for only read or hear. Fia for her same hobby

in our time. We used to spend our time together during our internship program or

in other occasion. Hessy for her patience and kindness when I was in my worst

conditions during my last year in college. Helmi for his humor and patience when

I cannot get a hold on myself and burst him with a bunch of story in my life, thank

you for always pat me when I feel down. Miftah for his scary humor with all

ghost pictures he is been sending me from time to time, now I will check my

window every time I want to sleep. I also will absent all my friends in class A,

thank you for handsome boys Andryan, Be Em, Brian, Deo, Echsan, Felik, Juoro,

Rendi, Ridho, for always openly accept me in your what we used to call

‘penyamun’ gang. Being the only girl, a beauty in penyamun nest, is actually not a

bad idea, sometimes boys are friendlier compared to girls and it makes me easier

to be friend with all of you. Thank you for beautiful girls Rukya, Wiwin, for

always be there when we study together in four years. Some of you are still in


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class A until the very end and some of you were leave, but it always be the same

class A I ever known since my first year in accounting department.

My best friends in my life, Dyah and Yeriz for their kindness and lovely

behavior, thank you for always be there for me even though I can’t be the perfect

friend for all of you. A lot of things happen between us before we start to call each

other ‘best friends’, we start it at our first year in UKM Taekwondo, not knowing

each other and no one can predict that we can be a very good friend now.

I am indebted to my family for their patience and support. For my father,

from him I learn on never let any obstacles distract my life. It is better to face on

those obstacles and never be a coward who never try to challenge herself. Life is

not easy for me, but so do other people. I am scared, but so do other people. Why

spending time only to think of what will happen if we never going through the

obstacles when try hard and fight for it is easier to do. For my mother, from her I

learn on how I should keep my patience. I know that I am not a person who will

wait for 3 minutes on my noodles, but she always tell me to eat well and stop

eating un-cooked noodles. From her I learn on how to keep my health, since it is

the second best gift I ever had in my life–the first is my family and my friends all

around me. For my big brother, from him I learn on how we should care each

other. Sometimes I feel like I am not a good sister because I am ignoring him too

much. But the best thing is that he never ignore me. He never forget to give me

snacks whenever he buys some for himself, he also will help me when I have

difficulties in a lot of things. Thank you for all my family, my father, my mother,

and my big brother especially.

All those who helped me during my college time that cannot be mentioned

one by one. Thank you so much for your support, I really appreciate all of it.

Wassalamualaikum Wr Wb.

Surakarta, Thursday 19th May 2016

Ardyna Rahmita Dewi

NIM. F0312020


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CONTENTS

COVER PAGE ................................................................................................................... i

ABSTRAK ......................................................................................................................... ii

ABSTRACT ...................................................................................................................... iii

HALAMAN PENGESAHAN .......................................................................................... iv

HALAMAN PERSETUJUAN PEMBIMBING ............................................................. v

STATEMENT OF ORIGINALITY ............................................................................... vi

QUOTES ........................................................................................................................... vii

DEDICATION................................................................................................................. viii

ACKNOWLEDGEMENT ................................................................................................ ix

CONTENTS ...................................................................................................................... xi

TABLE LIST ................................................................................................................... xiv

FIGURE LIST .................................................................................................................. xv

APPENDIX LIST ............................................................................................................ xvi

CHAPTER I

INTRODUCTION ............................................................................................................. 1

1.1.Research Background ............................................................................................. 1

1.2.Research Questions ................................................................................................. 6

1.3.Research Objectives ................................................................................................ 7

1.4.Research Contribution ........................................................................................... 7

1.5.Research Originality ............................................................................................... 8

1.6.Research Systematics .............................................................................................. 9

CHAPTER II

LITERATURE REVIEW .............................................................................................. 11

2.1.Prospect Theory .................................................................................................... 11

2.2.GDP ........................................................................................................................ 12

2.3.What is Bank? ....................................................................................................... 13

2.3.1.Banking Industry ........................................................................................... 15

2.3.2.The Balance Sheet (Report of Condition) and The Income Statement

( Report of Income) ................................................................................................. 17

2.4.Bank Risk ............................................................................................................... 19

2.5.Firm Size ................................................................................................................ 22


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2.6.Bank Risk Based Capital Requirement .............................................................. 23

2.7.Bank Scope ............................................................................................................ 24

2.8.Bank Run ............................................................................................................... 25

2.9.Banking practice ................................................................................................... 25

2.10.Good Corporate Governance ............................................................................. 26

2.11.Bank Financial Performance ............................................................................. 27

2.12.Hypothesis Development .................................................................................... 29

2.13.Research Framework .......................................................................................... 41

CHAPTER III

METHODOLOGY ......................................................................................................... 42

3.1.Research Design .................................................................................................... 42

3.2.Data Source ............................................................................................................ 42

3.3.Research Population and Research Sample ....................................................... 44

3.4.Operational Definition and Variable Measurement .......................................... 46

3.4.1.Operational Definition of Variable ............................................................... 46

3.4.2.Definition and Dependent Variable Measurement ..................................... 46

3.4.3.Definition and Independent Variables Measurement ................................. 48

3.5.Data Testing ........................................................................................................... 53

3.6.Data Processing ..................................................................................................... 55

3.6.1.Descriptive Statistics ...................................................................................... 55

3.6.2.Data Normality Test....................................................................................... 56

3.6.3.Classic Assumption Tests .............................................................................. 57

3.6.4.Panel Data Regression ................................................................................... 59

CHAPTER IV

EMPIRICAL RESULT .................................................................................................. 63

4.1.Data Collection Result .......................................................................................... 63

4.2.Descriptive Statistics ............................................................................................. 64

4.3.Classic Assumption Test ....................................................................................... 73

4.3.1.Normality Test ................................................................................................ 74

4.3.2.Correlation (Pair-Wise Correlation) ............................................................ 75

4.3.3.Autocorrelation (Durbin-Watson) ................................................................ 75

4.3.4.Multicollinearity (VIF Test) .......................................................................... 76

4.3.5.Heteroscedasticity (Breusch-Pagan-Godfrey Test) ..................................... 76


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4.4.Panel Data Processing ........................................................................................... 77

4.4.1.Chow Test ....................................................................................................... 79

4.4.2.Hausman Test ................................................................................................. 80

4.5.Kruskall Wallis Test ............................................................................................. 81

4.6.Panel Data Regression and Hypothesis Test ....................................................... 82

4.6.1.Panel Data Regression ................................................................................... 82

4.6.2.Hypothesis Test .............................................................................................. 90

4.7.Discussion ............................................................................................................... 92

4.7.1.The Relationship Between Bank Size to Bank Failure Risk ...................... 92

4.7.2.The Relationship Between Bank Capital to Bank Failure Risk ................. 93

4.7.3.The Relationship Between Bank Scope to Bank Failure Risk ................... 95

4.7.4.The Relationship Between Bank with High Potential to Run to Bank

Failure Risk ............................................................................................................. 97

4.7.5.The Relationship Between Fractional-Reserve Banking Practice to Bank

Failure Risk ............................................................................................................. 99

4.7.6.The Relationship of Size, Capital, Scope, Run, and Practice with Bank

Failure Risk in Each Level of GDP Country ...................................................... 102

CHAPTER V

CONCLUSION ............................................................................................................. 106

5.1Conclusion ............................................................................................................ 106

5.2Limitation ............................................................................................................. 109

5.3Recommendation .................................................................................................. 109

5.4Implication ............................................................................................................ 111

REFERENCES .............................................................................................................. 112

APPENDIX .................................................................................................................... 118


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TABLE LIST

Table 2.1 Risk Based Capital Ratio............................................................ 24

Table 3.1 List of Stock Exchange................................................................ 43

Table 4.1 Descriptive Statistics of Bank Risk based on Countries......... 64

Table 4.2 Descriptive Statistics Comparison Each Variables Panel

Data.................................................................................................

67

Table 4.3 Descriptive Statistics Dependent and Independent Variables

Each Year.......................................................................................

71

Table 4.4 Correlation Matrix........................................................................ 75

Table 4.5 Multicollinearity Matrix............................................................... 76

Table 4.6 Heteroscedasticity Test Result.................................................... 76

Table 4.7 Chow Test...................................................................................... 79

Table 4.8 Hausman Test................................................................................ 80

Table 4.8.1 Kruskall Wallis Rank Each Countries........................................ 81

Table 4.8.2 Kruskall Wallis Test Result......................................................... 81

Table 4.9 Regression Result Panel Data..................................................... 82

Table 5.0 Regression Result Transformed Panel Data.............................. 83

Table 5.1 Regression Result Panel Data in Small GDP Countries.......... 84

Table 5. 2 Regression Result Transformed Panel Data in Small GDP

Countries........................................................................................

85

Table 5.3 Regression Result Panel Data in Medium GDP

Countries.......................................................................................

86

Table 5.4 Regression Result Transformed Panel Data in Medium GDP

Countries..........................................................................................

87

Table 5.5 Regression Result Panel Data in High GDP

Countries..........................................................................................

88

Table 5.6 Regression Result Transformed Panel Data in High GDP

Countries..........................................................................................

89


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FIGURE LIST

Figure 2.1 ..............................................................................................................41


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APPENDIX LIST

Appendix 1 Data from Higher Level GDP Countries............................... 1

Appendix 2 Data from Medium Level GDP Countries............................ 6

Appendix 3 Data from Lower Level GDP Countries............................... 9

Appendix 4 GDP Rates............................................................................. 15

Appendix 5 Currency Rates...................................................................... 17

Appendix 6 Regression Panel Data........................................................... 19

Appendix 7 Regression Panel Data in Small GDP Countries................... 20

Appendix 8 Regression Panel Data in Medium GDP Countries.............. 21

Appendix 9 Regression Panel Data in High GDP Countries.................... 22


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A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA ... · Indonesia, Jepang, Malaysia, Korea Selatan, Spanyol, dan Thailand. Sampel yang digunakan sebanyak 436 data annual report