THE EFFECT OF CREDIT RISK, LIQUIDITY, CAPITAL ADEQUACY, AND FIRM SIZE ON RETURN ON EQUITY: EVIDENCE FROM INDONESIAN BANKS
Abstract
Abstrak: Return on equity (ROE) mengukur imbal hasil yang diperoleh pemegang saham bank dan dipengaruhi oleh kinerja operasional maupun struktur modal. Sebagian besar penelitian tentang profitabilitas bank di Indonesia menggunakan return on assets (ROA), sehingga faktor penentu imbal hasil pemegang saham pada masa pemulihan pascapandemi belum banyak diketahui. Penelitian ini bertujuan menganalisis pengaruh risiko kredit, likuiditas, kecukupan modal, dan ukuran bank terhadap ROE bank di Indonesia. Penelitian ini merupakan penelitian kuantitatif dengan pendekatan data panel. Data berupa panel seimbang 43 bank dengan 172 observasi bank-tahun periode 2022–2025 dari LSEG/Refinitiv Datastream. ROE diregresikan pada rasio kredit bermasalah (NPL), rasio kredit terhadap simpanan (LDR), rasio kecukupan modal (CAR), dan ukuran bank. Uji Chow, Hausman, dan Breusch–Pagan Lagrange multiplier memilih model random effect, yang koefisiennya diuji dengan White heteroskedasticity-robust standard error dan diperiksa ulang dengan bank-clustered robust standard error. Ukuran bank berhubungan positif dengan ROE, sedangkan NPL berhubungan negatif. Kecukupan modal berhubungan positif namun lemah, dan likuiditas tidak berpengaruh signifikan.
Abstract: Return on equity (ROE) measures the return that a bank earns for its shareholders and depends on both operating performance and capital structure. Most studies of bank profitability in Indonesia use return on assets (ROA), so the drivers of shareholder return in the post-pandemic recovery period are not well understood. This study aims to examine the effect of credit risk, liquidity, capital adequacy, and firm size on the ROE of Indonesian banks. It is a quantitative study with a panel data approach, using a balanced panel of 43 banks and 172 bank-year observations over 2022–2025 from LSEG/Refinitiv Datastream. ROE is regressed on the non-performing loan ratio (NPL), the loan-to-deposit ratio (LDR), the capital adequacy ratio (CAR), and bank size. The Chow, Hausman, and Breusch–Pagan Lagrange-multiplier tests select the random-effect model, whose coefficients are tested with White heteroskedasticity-robust standard errors and re-examined with bank-clustered standard errors. Bank size is positively related to ROE, while NPL is negatively related to it. Capital adequacy is positively but weakly related to ROE, and liquidity is not significant.
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DOI: https://doi.org/10.31764/jmm.v10i5.41654
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