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系統識別號 U0002-0307201314255400
中文論文名稱 台灣銀行業與證券業效率分析-Metafrontier之運用
英文論文名稱 Efficiency Comparisons among Taiwan's Commercial Banks and Securities Firms-An Application of the Metafrontier Methods
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 101
學期 2
出版年 102
研究生中文姓名 游舒淳
研究生英文姓名 Shu-Chun Yu
學號 600530587
學位類別 碩士
語文別 中文
口試日期 2013-06-22
論文頁數 46頁
口試委員 指導教授-張寶光
委員-黃台心
委員-張寶光
委員-鄧文舜
中文關鍵字 金融控股公司  銀行  證券商  共同成本邊界  HHL Model 
英文關鍵字 financial holding company  banks  securities firms  Metafrontier  HHL Model 
學科別分類
中文摘要 本研究主要探討國內銀行業與證券業之效率。進一步比較在金控與非金控架構下之經營績效,樣本期間為2001至2011年。採用Huang, Huang, and Liu(2012)所發展之隨機共同邊界模型(HHL模型),設立隨機邊界迴歸模型推估共同成本邊界,以期真實反映廠商之效率表現。實證結果顯示:金控銀行在經營效率上發揮經營綜效,其表現確實略優於非金控銀行,但兩者間差距不大;非金控證券明顯優於金控證券,值得注意的是,此產業在經營上有衰退的趨勢。此外,本文也映證HHL模型在估計TGR上確實比起以往使用的數理規劃法,較能捕捉廠商之特性,能提供更有效的估計值。
英文摘要 This study aims to discuss the operating performance of Taiwan’s commercial banks and securities firms. Furthermore, efficiency comparisons among financial holding companies subsidiary and non-financial holding company, using a new two-step stochastic frontier approach(HHL Model)to estimate meta-cost frontier, over the period 2001-2011,and expect to reflect the firm’s reality performance. The empirical results show that banks holding company yield synergy, and the management ability is slightly better than non-financial holding banks, but the efficiency of independent securities firms is significant better than financial holding companies subsidiary, and also find that existence recession of securities industry. Otherwise, this study appears to support the HHL Model is useful than programming techniques, because it enables the statistical inferences to be drawn, and provides more efficiency estimations.
論文目次 目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究範圍與限制 4
第四節 研究架構與流程 4
第二章 文獻探討 6
第一節 銀行 6
第二節 證券公司 8
第三節 共同邊界(meta-frontier) 9
第四節 論文評述 10
第三章 研究方法 11
第一節 隨機共同邊界模型(HHL模型) 11
第四章 資料蒐集與變數定義 16
第一節 銀行 16
第二節 證券業 19
第五章 實證結果分析 21
第一節 銀行業 21
第二節 證券業 26
第六章 結論與建議 33
第一節 結論 33
第二節 未來研究建議 34
參考文獻 35
附錄 38

表目錄
表 1-1. 2011年各產業實質生產毛額及占國內生產毛額 (GDP) 之比率 .................. 2
表 4-1. 平減後各要素之樣本統計量(銀行業) ............................................................ 18
表 4-2. 平減後各要素之樣本統計量(證券業) ............................................................ 20
表 5-1. 銀行業金控、非金控每年平均效率估計 ...................................................... 22
表 5-2. 銀行業金控非金控個別技術效率、技術缺口比率及共同邊界效率差異檢定彙總 ................................................................................................................... 25
表 5-3. 證券業金控、非金控每年平均效率估計 ...................................................... 27
表 5-4. 證券業金控非金控個別技術效率、技術缺口比率及共同邊界效率差異檢定彙總 ................................................................................................................... 30
表 5-5. 台灣券商每股稅後盈餘(EPS)的表現 ............................................................. 30
表 5-6. HHL、LP與QP之TGR比較(銀行業) .................................................... 32
表 5-7. HHL、LP與QP之TGR比較(證券業) .................................................... 32

圖目錄
圖 1-1. 金融與保險業比重 ............................................................................................ 2
圖 1-2.本研究之流程圖 .................................................................................................. 5
圖 5-1. 銀行業金控v.s非金控技術效率之趨勢圖 .................................................... 23
圖 5-2. 銀行業金控v.s非金控技術缺口比率之趨勢圖 ............................................ 23
圖 5-3. 銀行業金控v.s非金控共同邊界技術效率之趨勢圖 .................................... 24
圖 5-4. 本國銀行覆蓋率及逾放比率 .......................................................................... 26
圖 5-5. 證券業金控v.s非金控技術效率之趨勢圖 .................................................... 28
圖 5-6. 證券業金控v.s非金控技術缺口比率之趨勢圖 ............................................ 28
圖 5-7. 證券業金控v.s非金控共同邊界技術效率之趨勢圖 .................................... 29
圖 5-8. 集中市場總成交值(億元) ................................................................................ 31
參考文獻 參考文獻
英文部份
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3. Battese, G.E., D. S. Prasada Rao, and C.J. O'Donnell (2004), “Ametafrontier production function for estimation of technical efficiencies and technology gaps for firms operating under different technologies,” Journal of Productivity Analysis, 21, 91-103.
4. Boskin, M. J. and L. J. LAU (1992), “International and intertemporal comparison of productive efficiency: An application of the meta-production function approach to the group-of-five (G-5) countries,” The Economic Studies Quarterly, 43, 298-312.
5. Fukuyama, H. and L. Weber(1999),”The Efficiency and Productivity of Japanese Securities Firms, 1988-93.”Japan and the World Economy, 11, 115-133.
6. Gunaratne, L. H. P. and P. S. Leung (2001), “Asian black tiger shrimp industry: A productivity analysis,” Chapter 5 in Economics and Management of Shrimp and Carp Farming in Asia: A Collection of Research Papers Based on the ADB/NACA Farm Performance Survey, Leung P.S. and K. R. Sharma, editors. Bangkok: Network of Aquaculture Centers in Asia-Pacific (NACA), 240.
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14. Liao, C.S., C.H. Yang and D. Liu, (2010) “Productivity Change and Ownership Structure of Securities Firms in Taiwan,” Journal of Money, Investment and Banking, 14, 46-58.
15. Liao, Chnag-Sheng (2012) “A study on Market Structure, Efficiency and Organizational Structure for Securities Firms in Taiwan,” Journal of Commercial Modernization, Vo1.6, No.3, 255-272.
16. Lo, Shih-Fang and Wen-Min Lu (2006), “Does Size Matter? Finding the Profitability and Marketability Benchmark of Financial Holding Companies,” Asia Pacific Journal of Operational Research, 23(2), 229-246.
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19. Shen, C.H. and Yuan Chang (2012), “To join or not to join? Do banks that are part of a financial holding company perform better than banks that are not? ,”Contemporary Economic Policy, 30(1), 113-128.
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21. Sharma, K.R. and P. S. Leung (2000), “Technical efficiency of carp pond culture in South Asia: An application of stochastic Meta-Production frontier model,” Aquaculture Economics and Management, 4, 169-189.
22. Wang, K.L., Y.T. Tseng and C-C. Weng (2003), “A study of production efficiency of integrated securities firms in Taiwan”, Applied Financial Economics, 13(3), 159-167.
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中文部份
1. 王克陸,彭雅惠 & 陳美燁(2007),台灣金控子銀行經營績效之評估-使用DEA方法,科技管理學刊,12(2),1-27
2. 王國樑、翁志強 & 張美玲 (1998),台灣綜合證券商技術效率探討,證券市場發展季刊,10(2),93-114。
3. 徐中琦 & 盧慧蓉 (2009),我國金控券商與非金控券商經營效率比較分析─DEA與Malmquist生產力指數之應用,台灣銀行季刊,第六十卷第四期,pp.46-64。
4. 陳達新、陳維寧 & 盧耀晟(2005),銀行民營化與金控公司成立對經營效率影響與併購企圖心之研究,東海管理評論,7(1),87-108
5. 黃台心、張寶光 & 邱郁芳 (2009),應用共同成本函數探討東亞六國銀行業之生產效率,經濟論文,37(1),61-100。
6. 葉佳玲 & 盧永祥 (2006),台灣綜合證券商規模經濟與範疇經濟之分析,財金論文叢刊,5,25-41。
7. 劉松瑜、謝燧棋 & 溫育芳 (2006),台灣銀行業在金控與非金控架構下之效率分析,台灣金融財務季刊,第七輯,第三期,第127-174頁。
8. 謝憶榕 (2004),金控架構下與非金控架構下之綜合證券商效率分析,國立高雄第一科技大學金融營運研究所碩士論文。
9. 嚴珮瑜 & 許志義 (2008),台灣本土銀行經營效率比較分析:DEA、Malmquist生產力指數及SFA方法之應用,台灣銀行季刊,59卷4期,頁1-46。

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