| 摘要: | 本研究採用「台灣經濟新報資料庫」(TEJ)中上市的11家銀行業資料與11家上市上櫃的證券業，探討我國上市(櫃)金融業的在資本適足率規範變化下，金融營收與股價間之縱橫平滑移轉效果，運用González, Teräsvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸（panel smooth transition regression, PSTR）模型，驗證在不同水位之資本適足率變化下，對金融業營收與股價相互間是否存在縱橫平滑移轉效果（panel smooth transition effect, PSTE），使得金融業營收與股價受資本適足率變化而產生相互間及與所考量控制變數的影響關係呈現非線性現象，並進一步進行影響關係評估與衡量。
研究結果顯示，資本適足率於門檻值15.5869與274.0040時，銀行與證券業的股價會發生結構性變化，而資本適足率小於門檻值15.5869時，銀行證券業的公司營收越高的情況下，銀行與證券業的股價將會越小，但是資本適足率大於門檻值15.5869時，銀行證券業的營收越大的情況下，銀行與證券業的股價將會越大；另外，當資本適足率小於門檻值274.0040時，銀行與證券業規模對股價有顯著正向影響；反之，銀行與證券業負債比無論於任何區間，其對股價之影響皆為負向且皆呈現顯著。
資本適足率小於門檻值286.2141時，銀行證券業的股價越高的情況下，其營收將會越大，而資本適足率大於門檻值286.2141時，銀行證券業的股價越大的情況下，營收將會越小。另外，無論於上或下區間，銀行與證券業之規模與負債比兩個控制變數對營收的影響皆為正向。研究結果意涵當資本適足率小於門檻值286.2141時，銀行證券業應致力提升股價、增加規模並增加負債比，但是當資本適足率大於門檻值286.2141時，銀行證券產業應減少股價、增加規模與增加負債比，才能使銀行證券業的營收提升。
This research adopts the sample data of listed eleven banks and eleven security firms from "Taiwan economic journal database" (TEJ) to investigate the mutual effects of earning and stock price under different levels of capital adequacy ratio (CAR) for the financial industry after Subprime Crisis. To fully catch the real world nonlinear phenomenon for the mutual effects between the revenue and stock price and the effects of control variables considered on the revenue and stock return in order to do further evaluation and measurement, we employ the panel smooth transition regression (PSTR) elaborated by González, Teräsvirta and Dijk（2004, 2005）for testing for the panel smooth transition effect.
The result of this research first shows that, when stock price is set as explained variable, there are two threshold values (an ESTR model) of 15.5869 and 274.0040 for CAR. It also shows that there is a significant negative effect of earning on stock price during the lowest region where CAR is less than 15.5869. However, significant positive effect is shown when CAR is larger than 15.5869. Whereas the positive effect decreases when CAR is larger that 74.0040. For other variables considered, the result shows that the size of financial firms has significant positive effect on stock price during the lower two regions when CAR is less than 274.0040. On the contrary, the effects of debt ratio of financial firms on stock price are shown negative significantly for all three CAR regions.
We further find that there is one threshold value of 286.2141 for CAR when earning is used as explained variable. The effects of stock price on earning are positive and negative, both significantly, under the lower and higher regions, respectively. For the other two control variables, both show significant positive effects on the earning of financial firms under both regions. |
