Pergerakan Variabel PBH
PENUTUP A. Kesimpulan
Berdasarkan analisis dan pembahasan hasil penelitian dengan melakukan pengujian hipotesis menggunakan analisis regresi data panel, dapat diambil kesimpulan sebagai berikut :
1. Secara parsial, Sertifikat Bank Indonesia Syariah (SBIS) dan Pembiayaan Bagi Hasil (PBH) memiliki pengaruh yang signifikan terhadap Likuiditas Bank Umum Syariah. Sementara variabel Giro Wajib Minimum (GWM) secara parsial tidak memiliki pengaruh signifikan terhadap likuiditas bank umum syariah periode Januari 2011- Maret 2015.
2. Secara simultan, hasil penelitian menunjukkan ada pengaruh yang signifikan antara Sertifikat Bank Indonesia Syariah (SBIS), Giro Wajib Minimum (GWM), dan Pembiayaan Bagi Hasil (PBH) terhadap likuiditas bank umum syariah periode Januari 2011-Maret 2015.
3. Variabel yang paling dominan mempengaruhi likuiditas bank umum syariah adalah variabel SBIS (Sertifikat Bank Indonesia Syariah) dengan konstanta -0.060061.
4. Variabel yang paling tidak dominan mempengaruhi likuiditas bank umum syariah adalah variabel GWM (Giro Wajib Minimum).
B. Saran
Berkaitan dengan penelitian ini, penulis menyarankan beberapa hal sebagai berikut :
95 1. Penelitian likuiditas bank umum syariah yang menghubungan instrument moneter seperti SBIS, GWM, dan PBH masih tergolong baru. Maka dari itu dibutuhkan penelitian selanjutnya agar dapat mendukung hasil penelitian sebelumnya.
2. Variabel independen dalam penelitian ini sebesar 72% sehingga disarankan bagi penelitian selanjutnya untuk menambahkan variabel independen yang secara teoritis berpengaruh terhadap likuiditas bank umum syariah.
3. Dalam penelitian selanjutnya diharapkan tidak hanya menggunakan instrument moneter (SBIS, GWM, dan PBH) tetapi juga menambahkan rasio lainnya seperti Pasar Uang.
4. Dalam penelitian selanjutnya diharapkan tidak hanya menggunakan Bank Umum Syariah (BUS) tetapi menggunakan industri perbankan syariah lainnya seperti Unit Usaha Syariah (UUS) dan Bank Perkreditan Rakyat Syariah (BPRS).
5. Dalam penelitian selanjutnya diharapkan menggunakan rentang waktu yang berbeda dan lebih lama agar diperoleh hasil yang lebih akurat, serta melakukan pengembangan teori sehingga penelitian selanjutnya lebih baik dan komprehensif.
96 DAFTAR PUSTAKA
Al Qur’an
Ali, Zainuddin. “Hukum Perbankan Syariah”. Sinar Grafika Offset. Jakarta: 2008
Andini, Pratiwi Puspito. “Manajemen Risiko Perbankan Syariah di Indonesia” Universitas Jember. 2013.
Arifin, Zainul. “Dasar-Dasar Manajemen Bank Syariah”. Cetakan 7. Azkia Publisher. 2009
Daniar. “Transmisi Kebijakan Moneter Syariah: Sebuah Analisa”. Program Doktor Ilmu Ekonomi Islam Universitas Airlangga Surabaya. 2016.
Fauziah, Ivo. “Peranan Bank Indonesia Pada Masa Krisis Ekonomi Tahun 1997-2000”. Universitas Pendidikan Indonesia. 2014
Fatwa Dewan Syariah Nasional Majelis Ulama Indonesia (DSN-MUI)
Finansial Bisnis. “September 2016, Pangsa Pasar Bank Syariah Tembus 5.3%”. Artikel diakses pada tanggal 27 Desember 2016, dari http://finansial.bisnis.com/read/20160927/90/587449/september-2016-pangsa-pasar-bank-syariah-tembus-53
Ghozali, Imam. “Analisis Multivariat Ekonometrika”. Universitas Diponegoro Semarang. Semarang: 2013
Hadinoto, Soetanto dan Djoko Retnadi. “Micro Credit Challenge: Cara Efektif Mengatasi Kemiskinan dan Pengangguran di Indonesia”. PT Elex Media komputindo. 2007
Hervina. “Kontroversi Kewenangan Pengadilan Negeri dan Pengadilan Agama Dalam Menyelesaikan Sengketa Perbankan Syariah di Indonesia”. IAIN Samarinda 2014.
Ichsan, Nurul. “Pengelolaan Likuiditas Bank Syariah”. Fakultas Agama Islam Universitas Prof. Dr. Hamka. 2014.
Ikhtisar Perbankan. “Sistem Keuangan Perbankan”. Diakses pada tanggal 28 November 2016 dari www.bi.go.id
Ilyas, Rahmat. “Konsep Pembiayaan Dalam Perbankan Syariah”. STAIN Syaikh Abdurrahman Siddik Bangka Belitung. Indonesia. 2015
97 Ismal, Rifki. “Harian Ekonomi Neraca- BMPP dan Manajemen Risiko Likuiditas”. Perpustakaan BI. Islamic Finance, Durham University. United Kingdom. 2008.
Jalil, Abdul.”Runtuhnya Sistem Kapitalis Menuju Sistem Ekonomi Islam Mendunia”. Annual International Conferrence Islamic Studies. UIN Sunan Kalijaga Yogyakarta. 2012.
Kornitasari, Yenny dan Asfi Manzilati. “Manajemen Likuiditas Dalam Kerangka Kerja Dual Banking System”. Jurnal Ekonomi Islam. Volume 1 2013.
Kusuma, Tiara Citra. “Analisis Faktor-Faktor Yang Mempengaruhi Intermedia Perbankan di Indonesia (Studi Kasus Pada Bank Devisa dan Bank Non Devisa Periode 2001-2009). 2010
Laporan keuangan triwulan Bank Syariah Mandiri. Diakses pada tanggal 1 November 2016 dari www.syariahmandiri.co.id.
Laporan keuangan triwulan Bank Rakyat Indonesia Syariah. Diakses pada tanggal 1 November 2016 dari www.brisyariah.co.id.
Laporan keuangan triwulan Bank Panin Syariah. Diakses pada tanggal 2 November 2016 dari www.paninbanksyariah.co.id.
Laporan keuangan triwulan Bank Syariah Bukopin. Diakses pada tanggal 2 November 2016 dari www.syariahbukopin.co.id.
Laporan keuangan triwulan Bank Maybank Syariah. Diakses pada tanggal 2 November 2016 dari www.maybanksyariah.co.id.
Laporan keuangan triwulan Bank Victoria Syariah. Diakses pada tanggal 2 November 2016 dari www.bankvictoriasyariah.co.id.
Leon, Boy dan Sony Ericsson. “Manajemen Aktiva dan Pasiva Bank Devisa”. 2007.
Mardiyanto. Handono. “Intisari Manajemen Keuangan”. 2008.
Otoritas Jasa Keuangan. “Roadmap Perbankan Syariah 2015-2019”. Diakses pada tanggal 29 Desember 2016. Dari www.ojk.go.id
Peraturan Bank Indonesia. Diakses pada tanggal 30 Desember 2016 dari http://bi.go.id
Perbanas Institute. “Reserve Requirement”. Diakses pada tanggal 29 Desember 2016 dari http://dosen.perbanas.id
98 Razhali, Adief. “Efektifitas Sertifikat Bank Indonesia Syariah (SBIS) Terhadap Pengendalian Likuiditas Industri Perbankan Syariah di Indonesia”. Tesis Universitas Indonesia Program Pascasarjana Program Studi Timur Tengah dan Islam. Jakarta. 2011.
Rivai, Veithzal. “Islamic Risk Management For Islamic Bank”. Gramedia. Jakarta: 2013
Rusydiana, Aam Slamet. “Krisis Ekonomi Dalam Perspektif Ekonomi Islam Pemberdayaan Ekonomi Umat Dari Perspektif Islam. Sekolah Tinggi Ekonomi Islam (STEI) Tazkiya Bogor. 2013.
Santoso dan Suhadi. “Periodisasi Perkembangan Hukum Perbankan Syariah di Indonesia”. Program Doktor Ilmu Hukum Unissula Semarang. 2015
Sulistyowati. “Manajemen Likuiditas Bank Syariah: Upaya Peningkatan Good Corporate Governance”. STAIN Kediri. 2015
Salem, Rania Abdelfattah. “Risk Management For Islamic Banks”. Edinburgh University Press: 2013
Tunena, Andreas, dkk. “Analisis Tingkat Kesehatan Bank Dengan Metode Camel (Studi Perbandingan Pada BRI TBK & BTN TBK Periode 2010-2014)”. Fakultas Ekonomi Jurusan Manajemen Universitas Sam Ratulangi Manado. 2015.
Wahyudi, Imam, dkk. “Risk Management For Islamic Banks: recent developments from Asia and the Middle East”. Wiley. Singapore: 2015
Wangsawidjaja. “Pembiayaan Bank Syariah”. PT. Gramedia. Jakarta: 2012
Zein, Aliman Syahuri. “Apa dan Bagaimana: Mekanisme Transmisi Kebijakan Moneter Syariah di Indonesia”. 2015
99 LAMPIRAN
100 Lampiran 2: Data Variabel Penelitian
Namabank Periode Likuiditas SBIS GWM PBH
BSM 2011Q1 0.8406 Rp3,898,000,000,000.00 0.0509 Rp9,254,114,000,000.00 BSM 2011Q2 0.8852 Rp2,577,000,000,000.00 0.0511 Rp9,792,439,000,000.00 BSM 2011Q3 0.8986 Rp3,090,000,000,000.00 0.0508 Rp9,891,985,000,000.00 BSM 2011Q4 0.8603 Rp4,850,000,000,000.00 0.0508 Rp9,962,919,000,000.00 BSM 2012Q1 0.8725 Rp4,340,000,000,000.00 0.0507 Rp9,912,866,000,000.00 BSM 2012Q2 0.9221 Rp2,650,000,000,000.00 0.0507 Rp10,355,069,000,000.00 BSM 2012Q3 0.9390 Rp2,404,000,000,000.00 0.0506 Rp10,440,296,000,000.00 BSM 2012Q4 0.9440 Rp3,125,000,000,000.00 0.0506 Rp10,462,107,000,000.00 BSM 2013Q1 0.9561 Rp2,840,000,000,000.00 0.0506 Rp10,513,006,000,000.00 BSM 2013Q2 0.9422 Rp2,853,000,000,000.00 0.0506 Rp11,060,256,000,000.00 BSM 2013Q3 0.9129 Rp4,405,000,000,000.00 0.0520 Rp10,954,265,000,000.00 BSM 2013Q4 0.8937 Rp5,500,000,000,000.00 0.0522 Rp11,113,224,000,000.00 BSM 2014Q1 0.9034 Rp5,315,000,000,000.00 0.0505 Rp10,796,645,000,000.00 BSM 2014Q2 0.8991 Rp4,844,015,000,000.00 0.0505 Rp10,826,614,000,000.00 BSM 2014Q3 0.8565 Rp7,501,180,000,000.00 0.0505 Rp11,131,425,000,000.00 BSM 2014Q4 0.8213 Rp9,605,330,000,000.00 0.0505 Rp10,689,858,000,000.00 BSM 2015Q1 0.8167 Rp9,304,950,000,000.00 0.0505 Rp10,937,562,000,000.00 BRIS 2011Q1 0.9744 Rp601,500,000,000.00 0.0504 Rp1,129,899,000,000.00 BRIS 2011Q2 0.9334 Rp637,000,000,000.00 0.0504 Rp1,245,973,000,000.00 BRIS 2011Q3 0.9558 Rp528,000,000,000.00 0.0504 Rp1,304,501,000,000.00 BRIS 2011Q4 0.9055 Rp967,000,000,000.00 0.0502 Rp1,760,141,000,000.00 BRIS 2012Q1 1.0176 Rp471,500,000,000.00 0.0503 Rp1,899,327,000,000.00 BRIS 2012Q2 1.0277 Rp782,000,000,000.00 0.0503 Rp2,020,064,000,000.00 BRIS 2012Q3 0.9999 Rp987,000,000,000.00 0.0503 Rp2,228,743,000,000.00 BRIS 2012Q4 1.0307 Rp1,676,000,000,000.00 0.0503 Rp2,663,262,000,000.00 BRIS 2013Q1 1.0090 Rp2,011,000,000,000.00 0.0502 Rp2,880,614,000,000.00 BRIS 2013Q2 1.0367 Rp1,869,000,000,000.00 0.0503 Rp3,575,317,000,000.00 BRIS 2013Q3 1.0561 Rp1,710,500,000,000.00 0.0502 Rp3,854,597,000,000.00 BRIS 2013Q4 1.0270 Rp1,947,500,000,000.00 0.0503 Rp4,050,478,000,000.00 BRIS 2014Q1 1.0213 Rp2,149,000,000,000.00 0.0502 Rp3,846,442,000,000.00 BRIS 2014Q2 0.9514 Rp2,083,000,000,000.00 0.0505 Rp3,969,312,000,000.00 BRIS 2014Q3 0.9485 Rp1,755,645,000,000.00 0.0506 Rp4,192,094,000,000.00 BRIS 2014Q4 0.9390 Rp2,487,645,000,000.00 0.0505 Rp4,976,583,000,000.00 BRIS 2015Q1 0.8824 Rp2,847,645,000,000.00 0.0505 Rp4,937,707,000,000.00 PANIN 2011Q1 0.7864 Rp97,500,000,000.00 0.0541 Rp199,901,000,000.00 PANIN 2011Q2 0.9785 Rp279,000,000,000.00 0.0527 Rp238,918,000,000.00 PANIN 2011Q3 2.0531 Rp179,000,000,000.00 0.0517 Rp265,185,000,000.00 PANIN 2011Q4 1.6297 Rp150,000,000,000.00 0.0542 Rp301,807,000,000.00 PANIN 2012Q1 1.4035 Rp96,700,000,000.00 0.0541 Rp330,300,000,000.00
101
Namabank Periode Likuiditas SBIS GWM Pembiayaan
PANIN 2012Q2 1.2788 Rp131,500,000,000.00 0.0505 Rp493,085,000,000.00 PANIN 2012Q3 1.4982 Rp157,000,000,000.00 0.0505 Rp664,433,000,000.00 PANIN 2012Q4 1.2388 Rp357,900,000,000.00 0.0525 Rp743,482,000,000.00 PANIN 2013Q1 1.2091 Rp142,900,000,000.00 0.0531 Rp691,371,000,000.00 PANIN 2013Q2 1.2360 Rp168,300,000,000.00 0.0527 Rp928,481,000,000.00 PANIN 2013Q3 1.1246 Rp266,200,000,000.00 0.0520 Rp1,129,971,000,000.00 PANIN 2013Q4 0.9040 Rp1,138,100,000,000.00 0.0557 Rp1,352,351,000,000.00 PANIN 2014Q1 1.1284 Rp962,700,000,000.00 0.0532 Rp1,922,186,000,000.00 PANIN 2014Q2 0.9276 Rp214,800,000,000.00 0.0520 Rp3,253,693,000,000.00 PANIN 2014Q3 1.1179 Rp611,300,000,000.00 0.0536 Rp3,531,105,000,000.00 PANIN 2014Q4 0.9404 Rp1,001,900,000,000.00 0.0520 Rp4,147,547,000,000.00 PANIN 2015Q1 0.9327 Rp1,169,400,000,000.00 0.0520 Rp4,284,254,000,000.00 BUKOPIN 2011Q1 0.9518 Rp20,400,000,000.00 0.0504 Rp448,761,000,000.00 BUKOPIN 2011Q2 0.9345 Rp32,900,000,000.00 0.0504 Rp436,661,000,000.00 BUKOPIN 2011Q3 0.8112 Rp203,800,000,000.00 0.0503 Rp427,419,000,000.00 BUKOPIN 2011Q4 0.8366 Rp201,000,000,000.00 0.0505 Rp632,574,000,000.00 BUKOPIN 2012Q1 0.9034 Rp46,500,000,000.00 0.0503 Rp632,192,000,000.00 BUKOPIN 2012Q2 0.9356 Rp191,000,000,000.00 0.0503 Rp732,412,000,000.00 BUKOPIN 2012Q3 0.9933 Rp240,500,000,000.00 0.0502 Rp827,413,000,000.00 BUKOPIN 2012Q4 0.9229 Rp321,200,000,000.00 0.0504 Rp831,263,000,000.00 BUKOPIN 2013Q1 0.8780 Rp256,600,000,000.00 0.0504 Rp846,200,000,000.00 BUKOPIN 2013Q2 0.9243 Rp199,500,000,000.00 0.0502 Rp981,225,000,000.00 BUKOPIN 2013Q3 0.9515 Rp167,800,000,000.00 0.0502 Rp1,044,739,000,000.00 BUKOPIN 2013Q4 1.0029 Rp171,400,000,000.00 0.0503 Rp1,092,737,000,000.00 BUKOPIN 2014Q1 0.9714 Rp287,200,000,000.00 0.0502 Rp1,154,332,000,000.00 BUKOPIN 2014Q2 1.0284 Rp226,300,000,000.00 0.0505 Rp1,284,553,000,000.00 BUKOPIN 2014Q3 1.0366 Rp361,200,000,000.00 0.0502 Rp1,443,893,000,000.00 BUKOPIN 2014Q4 0.9289 Rp590,100,000,000.00 0.0502 Rp1,461,972,000,000.00 BUKOPIN 2015Q1 0.9512 Rp711,297,000,000.00 0.0502 Rp1,576,225,000,000.00 MAYBANK 2011Q1 1.4641 Rp661,600,000,000.00 0.0562 Rp154,692,000,000.00 MAYBANK 2011Q2 1.2220 Rp683,500,000,000.00 0.0596 Rp104,877,000,000.00 MAYBANK 2011Q3 1.7639 Rp558,600,000,000.00 0.0651 Rp16,974,000,000.00 MAYBANK 2011Q4 2.8920 Rp417,100,000,000.00 0.0555 Rp0.00 MAYBANK 2012Q1 2.4017 Rp454,100,000,000.00 0.0697 Rp0.00 MAYBANK 2012Q2 2.8579 Rp439,500,000,000.00 0.0561 Rp0.00 MAYBANK 2012Q3 3.4506 Rp293,700,000,000.00 0.0737 Rp0.00 MAYBANK 2012Q4 1.9770 Rp419,500,000,000.00 0.0579 Rp0.00 MAYBANK 2013Q1 1.5301 Rp493,700,000,000.00 0.0605 Rp0.00 MAYBANK 2013Q2 1.4852 Rp530,800,000,000.00 0.0603 Rp0.00 MAYBANK 2013Q3 2.5708 Rp301,400,000,000.00 0.0550 Rp0.00
102
Namabank Periode Likuiditas SBIS GWM Pembiayaan
MAYBANK 2013Q4 1.5278 Rp338,000,000,000.00 0.0557 Rp0.00 MAYBANK 2013Q4 1.5278 Rp338,000,000,000.00 0.0557 Rp0.00 MAYBANK 2014Q2 1.7764 Rp356,500,000,000.00 0.0541 Rp0.00 MAYBANK 2014Q3 1.8031 Rp473,879,000,000.00 0.0537 Rp27,718,000,000.00 MAYBANK 2014Q4 1.5777 Rp550,294,000,000.00 0.0720 Rp253,528,000,000.00 MAYBANK 2015Q1 1.6188 Rp103,129,000,000.00 0.0542 Rp238,689,000,000.00 VICTORIA 2011Q1 0.7358 Rp28,400,000,000.00 0.0508 Rp1,324,000,000.00 VICTORIA 2011Q2 0.6782 Rp70,300,000,000.00 0.0507 Rp5,801,000,000.00 VICTORIA 2011Q3 0.4798 Rp83,589,000,000.00 0.0514 Rp14,764,000,000.00 VICTORIA 2011Q4 0.4608 Rp151,800,000,000.00 0.0504 Rp18,428,000,000.00 VICTORIA 2012Q1 0.7143 Rp83,300,000,000.00 0.0508 Rp17,163,000,000.00 VICTORIA 2012Q2 0.8697 Rp27,000,000,000.00 0.0501 Rp29,751,000,000.00 VICTORIA 2012Q3 0.9488 Rp79,000,000,000.00 0.0505 Rp47,508,000,000.00 VICTORIA 2012Q4 0.7377 Rp188,800,000,000.00 0.0503 Rp79,562,000,000.00 VICTORIA 2013Q1 0.8225 Rp64,500,000,000.00 0.0502 Rp95,779,000,000.00 VICTORIA 2013Q2 0.9785 Rp124,300,000,000.00 0.0503 Rp130,985,000,000.00 VICTORIA 2013Q3 0.8083 Rp190,000,000,000.00 0.0504 Rp144,448,000,000.00 VICTORIA 2013Q4 0.8465 Rp196,000,000,000.00 0.0504 Rp277,662,000,000.00 VICTORIA 2014Q1 0.8707 Rp93,800,000,000.00 0.0502 Rp387,129,000,000.00 VICTORIA 2014Q2 1.1013 Rp37,700,000,000.00 0.0501 Rp438,684,000,000.00 VICTORIA 2014Q3 1.0790 Rp55,500,000,000.00 0.0502 Rp614,118,000,000.00 VICTORIA 2014Q4 0.9519 Rp82,800,000,000.00 0.0501 Rp585,405,000,000.00 VICTORIA 2015Q1 1.0239 Rp47,500,000,000.00 0.0502 Rp646,049,000,000.00
103 Lampiran 3: Logaritma Natural (Ln)
Namabank Periode Likuiditas SBIS GWM PBH
BSM 2011Q1 -0.17 28.99 -2.98 29.86 BSM 2011Q2 -0.12 28.58 -2.97 29.91 BSM 2011Q3 -0.11 28.76 -2.98 29.92 BSM 2011Q4 -0.15 29.21 -2.98 29.93 BSM 2012Q1 -0.14 29.1 -2.98 29.92 BSM 2012Q2 -0.08 28.61 -2.98 29.97 BSM 2012Q3 -0.06 28.51 -2.98 29.98 BSM 2012Q4 -0.06 28.77 -2.98 29.98 BSM 2013Q1 -0.04 28.67 -2.98 29.98 BSM 2013Q2 -0.06 28.68 -2.98 30.03 BSM 2013Q3 -0.09 29.11 -2.96 30.02 BSM 2013Q4 -0.11 29.34 -2.95 30.04 BSM 2014Q1 -0.1 29.3 -2.99 30.01 BSM 2014Q2 -0.11 29.21 -2.99 30.01 BSM 2014Q3 -0.15 29.65 -2.99 30.04 BSM 2014Q4 -0.2 29.89 -2.99 30 BSM 2015Q1 -0.2 29.86 -2.99 30.02 BRIS 2011Q1 -0.03 27.12 -2.99 27.75 BRIS 2011Q2 -0.07 27.18 -2.99 27.85 BRIS 2011Q3 -0.05 26.99 -2.99 27.9 BRIS 2011Q4 -0.1 27.6 -2.99 28.2 BRIS 2012Q1 0.02 26.88 -2.99 28.27 BRIS 2012Q2 0.03 27.39 -2.99 28.33 BRIS 2012Q3 0 27.62 -2.99 28.43 BRIS 2012Q4 0.03 28.15 -2.99 28.61 BRIS 2013Q1 0.01 28.33 -2.99 28.69 BRIS 2013Q2 0.04 28.26 -2.99 28.91 BRIS 2013Q3 0.05 28.17 -2.99 28.98 BRIS 2013Q4 0.03 28.3 -2.99 29.03 BRIS 2014Q1 0.02 28.4 -2.99 28.98 BRIS 2014Q2 -0.05 28.36 -2.99 29.01 BRIS 2014Q3 -0.05 28.19 -2.98 29.06 BRIS 2014Q4 -0.06 28.54 -2.99 29.24 BRIS 2015Q1 -0.13 28.68 -2.99 29.23 PANIN 2011Q1 -0.24 25.3 -2.92 26.02 PANIN 2011Q2 -0.02 26.35 -2.94 26.2 PANIN 2011Q3 0.72 25.91 -2.96 26.3 PANIN 2011Q4 0.49 25.73 -2.92 26.43 PANIN 2012Q1 0.34 25.29 -2.92 26.52
104
Namabank Periode Likuiditas SBIS GWM PBH
PANIN 2012Q2 0.25 25.6 -2.99 26.92 PANIN 2012Q3 0.4 25.78 -2.99 27.22 PANIN 2012Q4 0.21 26.6 -2.95 27.33 PANIN 2013Q1 0.19 25.69 -2.94 27.26 PANIN 2013Q2 0.21 25.85 -2.94 27.56 PANIN 2013Q3 0.12 26.31 -2.96 27.75 PANIN 2013Q4 -0.1 27.76 -2.89 27.93 PANIN 2014Q1 0.12 27.59 -2.93 28.28 PANIN 2014Q2 -0.08 26.09 -2.96 28.81 PANIN 2014Q3 0.11 27.14 -2.93 28.89 PANIN 2014Q4 -0.06 27.63 -2.96 29.05 PANIN 2015Q1 -0.07 27.79 -2.96 29.09 BUKOPIN 2011Q1 -0.05 23.74 -2.99 26.83 BUKOPIN 2011Q2 -0.07 24.22 -2.99 26.8 BUKOPIN 2011Q3 -0.21 26.04 -2.99 26.78 BUKOPIN 2011Q4 -0.18 26.03 -2.99 27.17 BUKOPIN 2012Q1 -0.1 24.56 -2.99 27.17 BUKOPIN 2012Q2 -0.07 25.98 -2.99 27.32 BUKOPIN 2012Q3 -0.01 26.21 -2.99 27.44 BUKOPIN 2012Q4 -0.08 26.5 -2.99 27.45 BUKOPIN 2013Q1 -0.13 26.27 -2.99 27.46 BUKOPIN 2013Q2 -0.08 26.02 -2.99 27.61 BUKOPIN 2013Q3 -0.05 25.85 -2.99 27.67 BUKOPIN 2013Q4 0 25.87 -2.99 27.72 BUKOPIN 2014Q1 -0.03 26.38 -2.99 27.77 BUKOPIN 2014Q2 0.03 26.15 -2.99 27.88 BUKOPIN 2014Q3 0.04 26.61 -2.99 28 BUKOPIN 2014Q4 -0.07 27.1 -2.99 28.01 BUKOPIN 2015Q1 -0.05 27.29 -2.99 28.09 MAYBANK 2011Q1 0.38 27.22 -2.88 25.76 MAYBANK 2011Q2 0.2 27.25 -2.82 25.38 MAYBANK 2011Q3 0.57 27.05 -2.73 23.55 MAYBANK 2011Q4 1.06 26.76 -2.89 0 MAYBANK 2012Q1 0.88 26.84 -2.66 0 MAYBANK 2012Q2 1.05 26.81 -2.88 0 MAYBANK 2012Q3 1.24 26.41 -2.61 0 MAYBANK 2012Q4 0.68 26.76 -2.85 0 MAYBANK 2013Q1 0.43 26.93 -2.81 0 MAYBANK 2013Q2 0.4 27 -2.81 0 MAYBANK 2013Q3 0.94 26.43 -2.9 0
105
Namabank Periode Likuiditas SBIS GWM PBH
MAYBANK 2013Q4 0.42 26.55 -2.89 0 MAYBANK 2014Q1 0.6 26.81 -2.92 0 MAYBANK 2014Q2 0.57 26.6 -2.92 0 MAYBANK 2014Q3 0.59 26.88 -2.92 24.05 MAYBANK 2014Q4 0.46 27.03 -2.63 26.26 MAYBANK 2015Q1 0.48 25.36 -2.92 26.2 VICTORIA 2011Q1 -0.31 24.07 -2.98 21 VICTORIA 2011Q2 -0.39 24.98 -2.98 22.48 VICTORIA 2011Q3 -0.73 25.15 -2.97 23.42 VICTORIA 2011Q4 -0.77 25.75 -2.99 23.64 VICTORIA 2012Q1 -0.34 25.15 -2.98 23.57 VICTORIA 2012Q2 -0.14 24.02 -2.99 24.12 VICTORIA 2012Q3 -0.05 25.09 -2.99 24.58 VICTORIA 2012Q4 -0.3 25.96 -2.99 25.1 VICTORIA 2013Q1 -0.2 24.89 -2.99 25.29 VICTORIA 2013Q2 -0.02 25.55 -2.99 25.6 VICTORIA 2013Q3 -0.21 25.97 -2.99 25.7 VICTORIA 2013Q4 -0.17 26 -2.99 26.35 VICTORIA 2014Q1 -0.14 25.26 -2.99 26.68 VICTORIA 2014Q2 0.1 24.35 -2.99 26.81 VICTORIA 2014Q3 0.08 24.74 -2.99 27.14 VICTORIA 2014Q4 -0.05 25.14 -2.99 27.1 VICTORIA 2015Q1 0.02 24.58 -2.99 27.19
106 Lampiran 4: Uji Stasioneritas Data Tahap Level
1. SBIS
Null Hypothesis: SBIS has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.657088 0.0015 Test critical values: 1% level -4.051450
5% level -3.454919
10% level -3.153171
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBIS)
Method: Least Squares Date: 03/05/17 Time: 13:46 Sample (adjusted): 2 102
Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. SBIS(-1) -0.362909 0.077926 -4.657088 0.0000 C 10.39323 2.245443 4.628588 0.0000 @TREND("1") -0.013405 0.003874 -3.460564 0.0008 R-squared 0.181214 Mean dependent var -0.043663 Adjusted R-squared 0.164504 S.D. dependent var 0.837062 S.E. of regression 0.765121 Akaike info criterion 2.331687 Sum squared resid 57.37015 Schwarz criterion 2.409363 Log likelihood -114.7502 Hannan-Quinn criter. 2.363132 F-statistic 10.84471 Durbin-Watson stat 1.926763 Prob(F-statistic) 0.000056
107 2. GWM
Null Hypothesis: GWM has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.742876 0.2222 Test critical values: 1% level -4.052411
5% level -3.455376
10% level -3.153438
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GWM)
Method: Least Squares Date: 03/05/17 Time: 13:49 Sample (adjusted): 3 102
Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. GWM(-1) -0.243941 0.088936 -2.742876 0.0073 D(GWM(-1)) -0.484884 0.090032 -5.385685 0.0000 C -0.726244 0.265993 -2.730315 0.0075 @TREND("1") 0.000114 0.000199 0.570278 0.5698 R-squared 0.415815 Mean dependent var -0.000200 Adjusted R-squared 0.397560 S.D. dependent var 0.070438 S.E. of regression 0.054672 Akaike info criterion -2.935743 Sum squared resid 0.286949 Schwarz criterion -2.831537 Log likelihood 150.7872 Hannan-Quinn criter. -2.893569 F-statistic 22.77720 Durbin-Watson stat 2.012998 Prob(F-statistic) 0.000000
108 3. PBH
Null Hypothesis: PBH has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.070980 0.5553 Test critical values: 1% level -4.051450
5% level -3.454919
10% level -3.153171
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PBH)
Method: Least Squares Date: 03/05/17 Time: 13:50 Sample (adjusted): 2 102
Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. PBH(-1) -0.090552 0.043724 -2.070980 0.0410 C 2.600901 1.544731 1.683723 0.0954 @TREND("1") -0.007909 0.013170 -0.600523 0.5495 R-squared 0.043430 Mean dependent var -0.026436 Adjusted R-squared 0.023908 S.D. dependent var 3.464853 S.E. of regression 3.423183 Akaike info criterion 5.328271 Sum squared resid 1148.382 Schwarz criterion 5.405948 Log likelihood -266.0777 Hannan-Quinn criter. 5.359717 F-statistic 2.224703 Durbin-Watson stat 1.763438 Prob(F-statistic) 0.113531
109 4. Likuiditas
Null Hypothesis: LIKUIDITAS has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.102393 0.1114 Test critical values: 1% level -4.051450
5% level -3.454919
10% level -3.153171
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIKUIDITAS) Method: Least Squares
Date: 03/05/17 Time: 13:51 Sample (adjusted): 2 102
Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. LIKUIDITAS(-1) -0.179209 0.057765 -3.102393 0.0025 C 0.001452 0.038675 0.037549 0.9701 @TREND("1") 0.000236 0.000669 0.352083 0.7255 R-squared 0.089966 Mean dependent var 0.001881 Adjusted R-squared 0.071394 S.D. dependent var 0.199628 S.E. of regression 0.192370 Akaike info criterion -0.429538 Sum squared resid 3.626614 Schwarz criterion -0.351861 Log likelihood 24.69167 Hannan-Quinn criter. -0.398092 F-statistic 4.844155 Durbin-Watson stat 2.050150 Prob(F-statistic) 0.009859
110 Lampiran 5: Uji Stasioneritas Tahap 1st Difference
1. SBIS
Null Hypothesis: D(SBIS) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.43354 0.0000 Test critical values: 1% level -4.053392
5% level -3.455842
10% level -3.153710
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBIS,2)
Method: Least Squares Date: 03/05/17 Time: 13:53 Sample (adjusted): 4 102
Included observations: 99 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(SBIS(-1)) -1.520648 0.145746 -10.43354 0.0000 D(SBIS(-1),2) 0.337901 0.096752 3.492458 0.0007 C -0.053289 0.166990 -0.319116 0.7503 @TREND("1") -0.000188 0.002813 -0.066925 0.9468 R-squared 0.616957 Mean dependent var -0.007475 Adjusted R-squared 0.604861 S.D. dependent var 1.272335 S.E. of regression 0.799791 Akaike info criterion 2.430634 Sum squared resid 60.76830 Schwarz criterion 2.535487 Log likelihood -116.3164 Hannan-Quinn criter. 2.473057 F-statistic 51.00459 Durbin-Watson stat 2.143740 Prob(F-statistic) 0.000000
111 2. GWM
Null Hypothesis: D(GWM) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -19.95473 0.0000 Test critical values: 1% level -4.052411
5% level -3.455376
10% level -3.153438
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GWM,2)
Method: Least Squares Date: 03/05/17 Time: 13:53 Sample (adjusted): 3 102
Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(GWM(-1)) -1.608166 0.080591 -19.95473 0.0000 C 0.002696 0.011553 0.233359 0.8160 @TREND("1") -5.74E-05 0.000196 -0.293385 0.7699 R-squared 0.804117 Mean dependent var -0.000100 Adjusted R-squared 0.800078 S.D. dependent var 0.126319 S.E. of regression 0.056481 Akaike info criterion -2.880294 Sum squared resid 0.309437 Schwarz criterion -2.802139 Log likelihood 147.0147 Hannan-Quinn criter. -2.848663 F-statistic 199.0962 Durbin-Watson stat 2.112300 Prob(F-statistic) 0.000000
112 3. PBH
Null Hypothesis: D(PBH) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.130632 0.0000 Test critical values: 1% level -4.052411
5% level -3.455376
10% level -3.153438
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PBH,2)
Method: Least Squares Date: 03/05/17 Time: 13:54 Sample (adjusted): 3 102
Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(PBH(-1)) -0.924388 0.101240 -9.130632 0.0000 C -0.257311 0.717399 -0.358671 0.7206 @TREND("1") 0.004509 0.012152 0.371024 0.7114 R-squared 0.462212 Mean dependent var 0.000400 Adjusted R-squared 0.451124 S.D. dependent var 4.731056 S.E. of regression 3.505059 Akaike info criterion 5.375832 Sum squared resid 1191.687 Schwarz criterion 5.453987 Log likelihood -265.7916 Hannan-Quinn criter. 5.407463 F-statistic 41.68427 Durbin-Watson stat 1.998443 Prob(F-statistic) 0.000000
113 4. Likuiditas
Null Hypothesis: D(LIKUIDITAS) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -11.08990 0.0000 Test critical values: 1% level -4.052411
5% level -3.455376
10% level -3.153438
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIKUIDITAS,2) Method: Least Squares
Date: 03/05/17 Time: 13:56 Sample (adjusted): 3 102
Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LIKUIDITAS(-1)) -1.118681 0.100874 -11.08990 0.0000 C 0.010111 0.041160 0.245648 0.8065 @TREND("1") -0.000166 0.000697 -0.238639 0.8119 R-squared 0.559083 Mean dependent var 0.000200 Adjusted R-squared 0.549992 S.D. dependent var 0.299869 S.E. of regression 0.201160 Akaike info criterion -0.339894 Sum squared resid 3.925129 Schwarz criterion -0.261739 Log likelihood 19.99470 Hannan-Quinn criter. -0.308263 F-statistic 61.49804 Durbin-Watson stat 2.013185 Prob(F-statistic) 0.000000
114 Lampiran 6: Uji Chow
Redundant Fixed Effects Tests Pool: DEPLIKUIDITAS Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 11.131664 (5,93) 0.0000
Cross-section Chi-square 47.843205 5 0.0000
Cross-section fixed effects test equation: Dependent Variable: LIKUIDITAS? Method: Panel Least Squares
Date: 03/05/17 Time: 14:00 Sample: 2011Q1 2015Q1 Included observations: 17 Cross-sections included: 6
Total pool (balanced) observations: 102
Variable Coefficient Std. Error t-Statistic Prob. C 5.747059 1.185042 4.849669 0.0000 SBIS? 0.009776 0.015292 0.639329 0.5241 GWM? 1.867162 0.375669 4.970233 0.0000 PBH? -0.017575 0.003199 -5.494782 0.0000 R-squared 0.591022 Mean dependent var 0.064216 Adjusted R-squared 0.578502 S.D. dependent var 0.337760 S.E. of regression 0.219284 Akaike info criterion -0.158474 Sum squared resid 4.712366 Schwarz criterion -0.055534 Log likelihood 12.08218 Hannan-Quinn criter. -0.116790 F-statistic 47.20716 Durbin-Watson stat 1.085063 Prob(F-statistic) 0.000000
115 Lampiran 7: Uji Haussman
Correlated Random Effects - Hausman Test Pool: DEPLIKUIDITAS
Test cross-section random effects
Test Summary
Chi-Sq.
Statistic Chi-Sq. d.f. Prob.
Cross-section random 14.763370 3 0.0020
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob. SBIS? -0.060061 -0.029162 0.000267 0.0585 GWM? 0.473421 1.021858 0.033410 0.0027 PBH? -0.010076 -0.014223 0.000003 0.0105
Cross-section random effects test equation: Dependent Variable: LIKUIDITAS? Method: Panel Least Squares
Date: 03/05/17 Time: 14:02 Sample: 2011Q1 2015Q1 Included observations: 17 Cross-sections included: 6
Total pool (balanced) observations: 102
Variable Coefficient Std. Error t-Statistic Prob. C 3.322634 1.449644 2.292034 0.0242 SBIS? -0.060061 0.026915 -2.231523 0.0280 GWM? 0.473421 0.408947 1.157657 0.2500 PBH? -0.010076 0.003546 -2.841327 0.0055
Effects Specification Cross-section fixed (dummy variables)
R-squared 0.744145 Mean dependent var 0.064216 Adjusted R-squared 0.722136 S.D. dependent var 0.337760 S.E. of regression 0.178043 Akaike info criterion -0.529486 Sum squared resid 2.948036 Schwarz criterion -0.297871 Log likelihood 36.00379 Hannan-Quinn criter. -0.435697 F-statistic 33.81087 Durbin-Watson stat 1.043430 Prob(F-statistic) 0.000000
116 Lampiran 8: Uji Heteroskedasitas
Heteroskedasticity Test: White
F-statistic 1.915587 Prob. F(9,31) 0.0867 Obs*R-squared 14.65272 Prob. Chi-Square(9) 0.1009 Scaled explained SS 12.62866 Prob. Chi-Square(9) 0.1801
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares
Date: 03/05/17 Time: 17:13 Sample: 22 102
Included observations: 41
Variable Coefficient Std. Error t-Statistic Prob. C -80.07720 471.2028 -0.169942 0.8662 SBIS^2 0.061016 0.137008 0.445345 0.6592 SBIS*GWM 4.154483 5.203612 0.798384 0.4307 SBIS*PBH -0.008754 0.072604 -0.120567 0.9048 SBIS 9.275781 17.15787 0.540614 0.5926 GWM^2 26.78609 21.09497 1.269786 0.2136 GWM*PBH -0.263622 0.189558 -1.390721 0.1742 GWM 39.45567 206.9342 0.190668 0.8500 PBH^2 -0.017982 0.007845 -2.292135 0.0288 PBH -0.049242 2.234983 -0.022033 0.9826 R-squared 0.357384 Mean dependent var 0.662986 Adjusted R-squared 0.170817 S.D. dependent var 0.976524 S.E. of regression 0.889217 Akaike info criterion 2.811270 Sum squared resid 24.51193 Schwarz criterion 3.229214 Log likelihood -47.63103 Hannan-Quinn criter. 2.963462 F-statistic 1.915587 Durbin-Watson stat 0.776559 Prob(F-statistic) 0.086686
117 Lampiran 9: Uji Autokorelasi
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.404907 Prob. F(2,26) 0.1101 Obs*R-squared 4.995618 Prob. Chi-Square(2) 0.0823
Test Equation:
Dependent Variable: RESID Method: Least Squares Date: 03/05/17 Time: 17:16 Sample: 23 100
Included observations: 32
Presample and interior missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob.
C 0.006382 0.093454 0.068288 0.9461 D(SBIS) 0.008289 0.216470 0.038292 0.9697 D(GWM) 0.199998 0.821587 0.243428 0.8096 D(PBH) -0.002491 0.017124 -0.145496 0.8854 RESID(-1) -0.403638 0.207745 -1.942946 0.0629 RESID(-2) -0.312289 0.210362 -1.484535 0.1497 R-squared 0.156113 Mean dependent var -1.13E-17 Adjusted R-squared -0.006173 S.D. dependent var 0.526558 S.E. of regression 0.528181 Akaike info criterion 1.728604 Sum squared resid 7.253345 Schwarz criterion 2.003429 Log likelihood -21.65766 Hannan-Quinn criter. 1.819701 F-statistic 0.961963 Durbin-Watson stat 2.000010 Prob(F-statistic) 0.458927