Hubungan Antara Konsentrasi Portofolio Pinjaman dan Stabilitas Perbankan: Analisis Komparatif Pada Negara ASEAN-4

Abstract

This study aims to examine the effect of loan portfolio concentration on bank stability by considering variations in market competition levels within the ASEAN banking sector. The analysis covers 32 commercial banks across four ASEAN countries over the period 2014–2023, using a dynamic panel data approach. Bank stability is proxied by the Z-Score, while loan concentration is measured using the Herfindahl-Hirschman Index (HHI). Control variables include Return on Assets (ROA), bank size, leverage, and regulatory capital implementation under Basel III (CET1). The study employs the System Generalized Method of Moments (System GMM) estimation technique to address potential endogeneity and dynamic panel effects. The results show that in the group of banks operating under high competition, HHI has a positive and significant impact on the Z-Score, indicating that greater portfolio concentration improves financial stability. In contrast, for banks in less competitive markets, the effect is weaker and statistically insignificant. Meanwhile, ROA demonstrates a consistently positive and significant relationship with stability across both groups, whereas size, leverage, and CET1 do not exhibit a statistically significant effect. The novelty of this research lies in its segmentation of banking market structures based on competition intensity, along with the inclusion of CET1 as a proxy for macroprudential regulatory effectiveness within the ASEAN context. The findings suggest that credit allocation strategies and capital requirements should be tailored to market characteristics in order to strengthen the resilience of the banking system.