The present study examined Granger Causality (GC) analysis of credit and liquidity risks in the banks active in the stock exchange. The research method was descriptive with regression design. The population was the banks active in the stock exchange with the time domain of 2009-2015 and consisting of 13 banks selected by purposive sampling. Research data is the financial statements. The results indicated no causal relationship from credit risk to liquidity risk (α> 0.05). There was a causal relationship from liquidity risk to credit risk (α = 0.05). There was a significant relationship from credit risk with three interruptions, ratio of loan, operational efficiency of the bank and margin of net profit on credit risk. There was a significant relationship between liquidity risk with two interruptions, liquidity risk with three interruptions, loan growth, return on assets, loan ratio, operating efficiency of the bank and net profit margin on liquidity risk.
