A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA, CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN, AND THAILAND BANKING INDUSTRY.
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
i
ABSTRAK
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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.
ii
ABSTRACT
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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.
iii
HALAMAN PENGESAHAN
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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
iv
HALAMAN PERSETUJUAN PEMBIMBING
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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.
v
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
vi
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)
vii
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.
viii
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
ix
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
x
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
xi
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
xii
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
xiii
TABLE LIST
Table 2.1
Table 3.1
Table 4.1
Table 4.2
Risk Based Capital Ratio............................................................
List of Stock Exchange................................................................
Descriptive Statistics of Bank Risk based on Countries.........
Descriptive Statistics Comparison Each Variables Panel
Data.................................................................................................
Table 4.3
Descriptive Statistics Dependent and Independent Variables
Each Year.......................................................................................
Table 4.4
Correlation Matrix........................................................................
Table 4.5
Multicollinearity Matrix...............................................................
Table 4.6
Heteroscedasticity Test Result....................................................
Table 4.7
Chow Test......................................................................................
Table 4.8
Hausman Test................................................................................
Table 4.8.1 Kruskall Wallis Rank Each Countries........................................
Table 4.8.2 Kruskall Wallis Test Result.........................................................
Table 4.9
Regression Result Panel Data.....................................................
Table 5.0
Regression Result Transformed Panel Data..............................
Table 5.1
Regression Result Panel Data in Small GDP Countries..........
Table 5. 2 Regression Result Transformed Panel Data in Small GDP
Countries........................................................................................
Table 5.3
Regression Result Panel Data in Medium GDP
Countries.......................................................................................
Table 5.4
Regression Result Transformed Panel Data in Medium GDP
Countries..........................................................................................
Table 5.5
Regression Result Panel Data in High GDP
Countries..........................................................................................
Table 5.6
Regression Result Transformed Panel Data in High GDP
Countries..........................................................................................
xiv
24
43
64
67
71
75
76
76
79
80
81
81
82
83
84
85
86
87
88
89
FIGURE LIST
Figure 2.1 ..............................................................................................................41
xv
APPENDIX LIST
Appendix 1
Appendix 2
Appendix 3
Appendix 4
Appendix 5
Appendix 6
Appendix 7
Appendix 8
Appendix 9
Data from Higher Level GDP Countries...............................
Data from Medium Level GDP Countries............................
Data from Lower Level GDP Countries...............................
GDP Rates.............................................................................
Currency Rates......................................................................
Regression Panel Data...........................................................
Regression Panel Data in Small GDP Countries...................
Regression Panel Data in Medium GDP Countries..............
Regression Panel Data in High GDP Countries....................
xvi
1
6
9
15
17
19
20
21
22
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
i
ABSTRAK
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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.
ii
ABSTRACT
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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.
iii
HALAMAN PENGESAHAN
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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
iv
HALAMAN PERSETUJUAN PEMBIMBING
A COMPARATIVE STUDY OF BANK FAILURE RISK IN AUSTRALIA,
CHINA, INDONESIA, JAPAN, MALAYSIA, SOUTH KOREA, SPAIN,
AND THAILAND BANKING INDUSTRY
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.
v
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
vi
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)
vii
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.
viii
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
x
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
xi
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
xii
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
xiii
TABLE LIST
Table 2.1
Table 3.1
Table 4.1
Table 4.2
Risk Based Capital Ratio............................................................
List of Stock Exchange................................................................
Descriptive Statistics of Bank Risk based on Countries.........
Descriptive Statistics Comparison Each Variables Panel
Data.................................................................................................
Table 4.3
Descriptive Statistics Dependent and Independent Variables
Each Year.......................................................................................
Table 4.4
Correlation Matrix........................................................................
Table 4.5
Multicollinearity Matrix...............................................................
Table 4.6
Heteroscedasticity Test Result....................................................
Table 4.7
Chow Test......................................................................................
Table 4.8
Hausman Test................................................................................
Table 4.8.1 Kruskall Wallis Rank Each Countries........................................
Table 4.8.2 Kruskall Wallis Test Result.........................................................
Table 4.9
Regression Result Panel Data.....................................................
Table 5.0
Regression Result Transformed Panel Data..............................
Table 5.1
Regression Result Panel Data in Small GDP Countries..........
Table 5. 2 Regression Result Transformed Panel Data in Small GDP
Countries........................................................................................
Table 5.3
Regression Result Panel Data in Medium GDP
Countries.......................................................................................
Table 5.4
Regression Result Transformed Panel Data in Medium GDP
Countries..........................................................................................
Table 5.5
Regression Result Panel Data in High GDP
Countries..........................................................................................
Table 5.6
Regression Result Transformed Panel Data in High GDP
Countries..........................................................................................
xiv
24
43
64
67
71
75
76
76
79
80
81
81
82
83
84
85
86
87
88
89
FIGURE LIST
Figure 2.1 ..............................................................................................................41
xv
APPENDIX LIST
Appendix 1
Appendix 2
Appendix 3
Appendix 4
Appendix 5
Appendix 6
Appendix 7
Appendix 8
Appendix 9
Data from Higher Level GDP Countries...............................
Data from Medium Level GDP Countries............................
Data from Lower Level GDP Countries...............................
GDP Rates.............................................................................
Currency Rates......................................................................
Regression Panel Data...........................................................
Regression Panel Data in Small GDP Countries...................
Regression Panel Data in Medium GDP Countries..............
Regression Panel Data in High GDP Countries....................
xvi
1
6
9
15
17
19
20
21
22