財務指標在多角化差異下對本國銀行績效之影響 : 縱橫平滑移轉模型之應用

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Title:	財務指標在多角化差異下對本國銀行績效之影響 : 縱橫平滑移轉模型之應用
Other Titles:	The impact of financial indicators on banking performance under different level of diversification : application of PSTR
Authors:	徐立婷;Hsu, Li-Ting
Contributors:	淡江大學財務金融學系碩士班聶建中
Keywords:	多角化;金控銀行;銀行獲利績效;緃橫平滑移轉模型;Diversification;Financial Holding Banks;banking performance;Panel Smooth Transition Regression
Date:	2012
Issue Date:	2013-04-13 10:51:00 (UTC+8)
Abstract:	本研究以2009年1月至2011年9月之資料探討14家金控銀行和10家非金控銀行，取其季資料，並以縱橫資料（Panel Data）的形式，用Gonzalez, Terasvirta and van Dijk (2004, 2005)所發的縱橫平滑移轉迴歸模型，找出多角化變數的門檻值，探討其對銀行績效所造成的影響。以資產報酬率、股東權益報酬率和經濟附加價值衡量銀行績效的指標，藉由多角化比率做為移轉變數的實證研究，並進一步評估財務指標影響銀行績效的程度，在不同多角化程度下檢測資產規模、負債比率、存放比率和逾放比率對銀行財務績效所造成的影響。結果顯示：多角化對銀行績效確實存在不對稱門檻關係，在多角化程度越大下，資產規模越大對金控銀行績效為負向影響，對非金控銀行則無顯著影響，負債比率對金控銀行績效為正向關係，對非金控銀行為負向關係，存放比率與金控銀行的績效呈反向變動，對非金控銀行為正向關係，而逾放比率則對金控與非金控銀行的績效都呈負向影響，表示非金控銀行與金控銀行的結構不同，除了逾放比率外，其餘變數對銀行獲利績效都有不同的影響效果。 The purpose of this study is to investigate the effect of diversification on the performance of banks by using panel smooth transition regression model which introduced by Gonzalez, Terasvirta and van Dijk (2004, 2005). Our samples consist of 14 financial holding banks and 10 non-financial holding banks during the period of 2009 to 2011. Indicators like return on assets, return on equity and economic value added are used to measure the financial performance. This empirical study will apply diversification ratio as transfer variables. Furthermore, it uses asset size, debt ratio, deposit-loan ratio and NPL ratio to estimate how these variables influence the performance of banks. The empirical result proves that there exists a nonlinear relationship on diversification ratio as transfer variables. When diversification ratio over the threshold, debt ratio has positive correlation with the performance of financial holding banks. However, asset size, deposit-loan ratio and NPL ratio have negative influence to banks performance. On the other hand, there is no significant relationship between Asset size and the performance of non-financial holding banks. Deposit-loan ratio has positive influence to the performance. Both debt ratio and NPL ratio have a negative correlation associated with the performance of non- financial holding banks.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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