期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2021
卷号：25
期号：3
页码：1-14
语种：English
出版社：The DreamCatchers Group, LLC
摘要：This study provides an insight to the individual, systematic, and systemic risk levels of large commercial banks in Indonesia and their determinants. Panel data regression is employed using random, fixed, and common effects respectively, following the results of Chow, Hausman, and LM tests. The sample covers 10 largest commercial banks for 13 consecutive years from 2006 to 2018 by both book value of total assets and market capitalization in Indonesia. Banks size, leverage, funding structure, and market-based activities are selected as the common bank-specific factors with findings indicating significant influence of bank’s size on both individual and systematic risks, although in opposite directions. Finally, the results revealed significant negative impacts of both stock volatility (δ) and beta (β) on systemic risk.
