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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54035

    Title: 以非線性方法探討調整後淨資本額與期貨商財務績效之關聯 : 縱橫平滑移轉模型之應用
    Other Titles: Nonlinear analysis for the effect of anc on financial performance of futures company : an application of pstr
    Authors: 楊書禹;Yang, Shu-Yu
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶 建 中;謝 劍 平;Nieh, Chieh-Chung
    Keywords: 調整後淨資本額;ANC
    Date: 2011
    Issue Date: 2011-06-16 21:52:52 (UTC+8)
    Abstract: 有鑑於國內對期貨商調整後淨資本額的研究大多圍繞在風險的探討,而針對財務績效的研究探討較少,對於調整後淨資本額是否如同銀行的自有資本適足率對於財務績效有門檻效果存在,值得探討。因此本研究擬運用 , and (2004, 2005)所發展之縱橫平滑移轉迴歸模型,探討調整後淨資本額規範對期貨商財務績效是否存在平滑移轉效果,使得調整後淨資本額規範對期貨商財務績效的影響呈現非線性之影響關係。藉此調整後淨資本額規範對期貨商財務績效平滑移轉效果之研究分析,期能夠提供期貨商財務績效提昇效果之策略建議。  
    The study on the adjusted net capital (ANC) of the domestic futures commission merchants focus more on the effect of ANC on the risk, but not on the financial performance. However, the question that is the ANC analogous to the capital adequacy ratio (CAR) having the threshold effect on bank’s financial performance is worth investigating. Therefore, this research employs panel smooth transition regression model (PSTR) elaborated by , and (2004, 2005) to investigate the nonlinear smooth transition effect of the ANC on the financial performance of the futures commission merchant. The results hopefully can be utilized as valuable reference to futures commission merchant’s strategy setup.
    The result from our PSTR investigation shows that there exists a threshold value for the ANC at the rate of 5.7329% and the speed of transition with the slope of 548.4963 is nearly the Hansen’s (1999) nonlinear threshold model which jumps abruptly.
    The overall analyses for the upper and lower regions are summarized as follows. We first find that the effect of the size on the earning for the futures commission merchants in Taiwan turns from positive to negative across the threshold value of ANC ratio at 5.7329% , both regions are shown to be significant. This implies that it’s better to increase the company size under the lower region and decrease it under the upper region in order to increase the financial performance for futures commission merchants. Moreover, when ANC ratio is also used as an explanatory variable, we empirically find that negative effects of the ANC ratio on the financial performance are shown under both the lower and upper regions. The negative impact of ANC ratio on financial performance is even worse and significant under the upper region.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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