本文主要研究目的在於探討國內專營期貨商經營風險對經營績效的影響，並進一步使用Hansen（1999）縱橫門檻自我迴歸（Panel Threshold Autoregression, PTAR）模型進行實證分析，檢定兩者間是否存在一上下不對稱之門檻非線性關係，希冀藉由實證分析得出調整後淨資本額（ANC）比率與財務績效間是否存在正向或反向關係。若ANC 比率對財務績效具有顯著負相關，則應在有效監控期貨商經營風險的前提下，適度調降ANC 比率之監管限制，使期貨商在財務績效上能更有效率性。樣本期間為2005年1月1日至2008年12月31日，資料型態為一平衡式縱橫資料（balanced panel data），模型中以期貨商資本適足率判斷基準－調整後淨資本額（ANC）比率作為經營風險的代理變數。
實證結果發現由於ANC比率為一受監控的比率，因此，傳統一般panel模型，並無法呈現出ANC比率對財務績效的顯著影響效果，所以，進一步使用縱橫門檻自我迴歸模型發現，ANC比率對財務績效之三個代理變數均存在有單一門檻效果。當ANC比率低於門檻值時，對三個績效變數皆為顯著負相關；當高於門檻值時，結果並不顯著，意謂著ANC比率低於門檻值時，可顯著增加期貨商的財務績效。在控制變數方面，利息收入與財務績效呈現顯著正相關；負債比率只有對於以股東權益報酬率作為績效指標時，才具有顯著正相關，對以每股盈餘和資產報酬率作為績效指標時，則不顯著。依照實證結果ANC 比率對績效為負向關係，若期交所能適度調降監管比率，將有助於期貨商的獲利能力。

This paper aims to examine the relationship between business risk and financial performance of the domestic Futures Commission Merchant（FCM）. The non-dynamic panel threshold autoregression model introduced by Hansen (1999) is adopted to analyze the effect of structural asymmetry of business risk and financial performance in order to obtain the relationship of the ANC ratio and business performance. If ANC ratio has a negative influence on the financial performance significantly, then the regulated restriction of ANC ratio should be decreased on the premise of monitoring business risk of FCM effectively. The sample period starts from January 1, 2005 to December 31, 2008 and the panel data is a balanced type. The business risk of FCM is proxied by the adjusted net capital（ANC）ratio.
The empirical results find that the ANC ratio and financial performance does not exist a significant relation by using traditional panel model. Since the ANC ratio is regulated by the TAIFEX, the true relation between ANC ratio and financial performance might be nonlinear and cannot be revealed by using traditional panel model. Thus in this study the panel threshold autoregression model is further used to examine the dynamic relation of business risk and financial performance for domestic FCM. The empirical results show that the ANC ratio has a negative influence on financial performance significantly while ANC ratio is lower than the threshold value of 35.97%. On the contrary, while ANC ratio is larger than the threshold value of 35.97%, there does not exit a significant relation between ANC ratio and financial performance. This means when ANC ratio is lower than threshold value, the financial performance of the FCM can be enhanced significantly by increasing business capacities. For control variables, interest income is positive significantly related with with financial performance. Debt ratio is positive significantly related with ROE, but not significantly related with EPS and ROA. Based on the empirical results that ANC ratio has a significantly negative influence on financial performance while ANC ratio is lower than threshold value, it would be helpful to improve the profitability of FCM if the restriction of ANC ratio is appropriately decreased by TAIFEX.

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	5
第三節　研究架構	7
第四節　研究流程圖	8
第二章　文獻回顧	9
第一節　公司營運特性與財務績效	9
第二節　資本適足率與期貨商的ANC比率	15
第三章　研究方法	19
第一節　變數的選取	19
第二節　實證模型	25
第三節　研究方法	27
第四節　門檻自我迴歸模型	33
第四章　實證結果與分析	42
第一節　研究對象、研究期間與資料處理	42
第二節　基本統計量分析	44
第三節　相關係數檢定	47
第四節　實證結果與分析	48
第五章　結論與建議	58
第一節　研究結論	58
第二節　研究限制	60
參考文獻	61
附錄	68
表 目 錄
【表3-1】期貨商調整後淨資本額比率的預警規定	22
【表4-1】實證樣本中國內專營期貨商	43
【表4-2】各變數之基本敘述統計量	45
【表4-3】全樣本各變數之Pearson相關係數	47
【表4-4】全樣本縱橫迴歸實證估計結果	50
【表4-5】調整後淨資本額對每股盈餘之門檻效果檢定	53
【表4-6】每股盈餘門檻自我迴歸模型估計結果	53
【表4-7】調整後淨資本額對資產報酬率之門檻效果檢定	54
【表4-8】資產報酬率門檻自我迴歸模型估計結果	55
【表4-9】調整後淨資本額對股東權益報酬率之門檻效果檢定	56
【表4-10】股東權益報酬率門檻自我迴歸模型估計結果	57
圖 目 錄
【圖1】本論文研究流程圖	8
【圖2】每股盈餘與調整後淨資本額之走勢圖	46
【圖3】資產報酬率與調整後淨資本額之走勢圖	46
【圖4】股東權益報酬率與調整後淨資本額之走勢圖	46
【圖5】每股盈餘單一門檻之門檻參數圖	54
【圖6】資產報酬率單一門檻之門檻參數圖	55
【圖7】股東權益報酬率單一門檻之門檻參數圖	57
附     錄
【附表1】期貨商之期貨未平倉量之月資料	68
【附表2】期貨商之期貨未平倉量之月排序	70
【附表3】期貨商之期貨月成交量	72
【附表4】期貨商之選擇權月成交量	75
【附圖1】期貨商月期貨成交量	78
【附圖2】期貨商月選擇權成交量	78

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