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中文論文名稱 金控公司多角化經營所造成財務績效及風險之變化分析─縱橫平滑移轉模型之應用
英文論文名稱 The Impacts of Diversified Operation on Financial Performance and Risk for FHCs in Taiwan - Panel Smooth Transition Application
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 2
出版年 97
研究生中文姓名 賴若禕
研究生英文姓名 Ruo-Yi Lai
學號 695530104
學位類別 碩士
語文別 中文
口試日期 2008-06-16
論文頁數 57頁
口試委員 指導教授-聶建中
共同指導教授-謝劍平
委員-聶建中
委員-謝劍平
委員-薛琦
委員-韋伯韜
委員-盧陽正
中文關鍵字 多角化  金融控股公司  縱橫平滑移轉迴歸模型 
英文關鍵字 diversification  financial holding company  panel smooth transition regression model 
學科別分類 學科別社會科學商學
中文摘要 潛在的多角化利益是台灣金融控股公司提供多種金融服務的誘因之一,本研究利用2003年至2007年之資料探討我國金控公司多角化程度對財務績效和風險之縱橫平滑移轉效果,運用Gonza'les, Terasvirta and Dijk (2004, 2005)之縱橫平滑移轉迴歸模型,臆測多角化程度指數對金控財務績效和金控風險是否存在縱橫平滑移轉效果,並進一步對金控財務績效及風險受解釋變數之影響進行評估與衡量。
實證結果發現,多角化程度指數和金控財務績效間之縱橫平滑移轉模型,在多角化程度指數為0.3992時發生結構性變化,但因轉換速度高達649.7979,使得模型在轉換門檻值附近形成一結構性改變的跳躍式模型。此外,多角化程度指數和金控風險仍舊不存在平滑移轉效果,在多角化程度指數為0.1124時產生一轉換區間,且因轉換速度高達3169.4,使得模型在轉換門檻值附近形成一結構性改變的跳躍式模型。
不論在門檻值前或後,資產規模是影響財務績效之主要變數,而負債比率是影響風險之主要變數;資產規模和負債比率的增加皆會使風險下降,但資產規模的增加會使金控財務績效惡化,此發現與一般認為金控公司能發揮預期綜效之觀點,並不一致。非利息淨收入比率和總資產成長率之提高皆可改善財務績效,並使多角化程度低於0.1124之金控風險下降,但卻造成多角化程度高於0.1124之金控風險上升
英文摘要 Potential diversification benefits are one reason why Taiwan FHCs (financial holding companies) are offering a growing range of financial services. In this paper, we examine the panel smooth transition effect of DIV (the degree of diversification in a FHC’s net revenue) on FHC’s financial performance and FHC’s risk, utilizing PSTR (panel smooth transition regression ) model (Gonza'les, Terasvirta and Dijk, 2004, 2005) and 2003 to 2007 datum. Further, we assess the FHC’s financial performance and risk by the influence of explanatory variables.
We find evidence that PSTR model between the DIV and FHC’s financial performance jumps abruptly at 0.3992, because the transition speed is up to 649.7979, which makes the model form a structural change close to transition threshold value. Due to the same reason, while transition speed is up to 3169.4, the DIV and FHC’s risk still jumps abruptly at 0.1124, which makes the model form a structural change close to transition threshold value. Within FHCs, regardless of the DIV, the major factors for financial performance and risk are asset size and debt ratio respectively. Risk will decline after either debt ratio increase or asset size expand, or after both.Unfortunately, financial performance will deteriorate after asset size expand further. The improvement of both net non-interest income ratio and total asset growth ratio can build financial performance, and reduce risk, while the DIV is below 0.1124. However, this improvement will reversely add risk, while the DIV is above 0.1124.
論文目次 謝辭 i
中文摘要 ii
英文摘要 iii
目錄 iv
表目錄 vi
圖目錄 vii
第一章 緒論 1
第一節 研究動機和背景 1
第二節 研究目的 4
第三節 論文架構 5
第二章 金融現況和文獻探討 6
第一節 金融現況 6
一、金融改革演進 6
二、國內金控簡歷.7
第二節 文獻探討 11
第三章 研究方法 17
第一節 研究資料 17
一、金控財務績效及風險之代理變數 17
二、金控財務績效及風險移轉變數 21
三、金控財務績效及風險解釋變數 22
第二節 縱橫單根檢定 23
第三節 縱橫平滑移轉迴歸模型 25
第四節 縱橫平滑移轉迴歸模型之設定 29
第四章 實證結果 34
第一節 各變數之基本統計分析 34
第二節 縱橫單根檢定之實證結果 35
第三節 縱橫平滑移轉模型之實證結果 36
一、多角化程度指數對金控財務績效之縱橫平滑移轉效果 36
二、多角化程度指數對金控風險之縱橫平滑移轉效 41
第五章 結論 50
參考文獻 53

表 目 錄
表1-1-1 2007年年底已掛牌上市之金融控股公司 3
表2-1-1 亞洲前三百大銀行 7
表4-1-1 各變數之基本統計量 35
表4-2-1 縱橫單根檢定實證結果 36
表4-3-1 多角化程度指數對淨值報酬率之同質性檢定 37
表4-3-2 多角化程度指數對淨值報酬率之結構轉換個數檢定 37
表4-3-3 多角化程度指數對淨值報酬率之轉換區間個數檢定 38
表4-3-4 多角化程度指數對淨值報酬率之模型估計結果 38
表4-3-5 多角化程度指數對淨值報酬率模型中解釋變數之影響39
表4-3-6 多角化程度指數對無清償能力風險指數之同質性檢定42
表4-3-7 多角化程度指數對無清償能力風險指數之結構轉換個數檢定 42
表4-3-8 多角化程度指數對無清償能力風險指數之轉換區間個數檢定 43
表4-3-9 多角化程度指數對無清償能力風險指數之模型估計結果 43
表4-3-10 多角化程度指數對無清償能力風險指數模型中解釋變數之影響 44
表4-3-11 解釋變數對金控財務績效及金控風險之影響區間 47

圖 目 錄
圖3-3-1 m=1之轉換模型 28
圖3-3-2 m=2之轉換模型 29
圖4-3-1 多角化程度指數對淨值報酬率之轉換函數 41
圖4-3-2 多角化程度指數對無清償能力風險指數之轉換函數 46
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金管會銀行局民國94年9月26日發佈之新聞稿
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