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

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Title:	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
Other Titles:	The impacts of diversified operation on financial performance and risk for FHCS in Taiwan - panel smooth transition application
Authors:	賴若禕;Lai, Ruo-yi
Contributors:	淡江大學財務金融學系碩士班聶建中;Neih, Chien-chung
Keywords:	多角化;金融控股公司;縱橫平滑移轉迴歸模型;Diversification;Financial Holding Company;panel smooth transition regression model
Date:	2008
Issue Date:	2010-01-11 01:14:01 (UTC+8)
Abstract:	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 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.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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