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題名 金控公司多角化程度對經營風險之影響
The Impact of Diversification on Risk-taking in The Financial Holding Companies
作者 簡湘庭
貢獻者 陳彩稚
簡湘庭
關鍵詞 金融控股公司
經營風險
多角化
子公司組成型態
日期 2012
上傳時間 22-Jul-2013 11:18:51 (UTC+8)
摘要 本研究探討我國金控公司多角化程度與經營風險之關聯性。以Herfindahl 指標衡量金控相關多角化之程度，研究當金控公司多角化程度愈高，是否顯著降低公司總風險、系統性風險、特定風險、破產風險與收入波動度。本研究以我國十四家金控公司為樣本對象，並取2003年Q1至2012年Q4之季資料，透過迴歸分析進行實證研究。主要研究結果如下：
(一) 風險並非｢隨機漫步｣，具有持續性之影響。當公司規模愈大、槓桿程度愈低且流動性佳之金控，較能降低特定風險和破產風險。而公司規模小、繼續經營價值高之金控公司，有助於降低系統性風險。此外，繼續經營價值高、槓桿程度低之金控公司，則能降低總風險和穩定收入波動度。
(二) 實證顯示，我國金控公司多角化程度愈高，愈能有效降低系統性風險。然特定風險將隨多角化程度提高而上升。針對於此，本研究推測多角化效益存在時間上之落差，且須仰賴經理人決策與風險管理之能力。此外，金控旗下納入銀行子公司，將顯著提升破產風險。
(三) 金融海嘯前，金控公司多角化程度愈高，收入波動度愈大。然金融海嘯發生後，多角化程度高之金控公司，則將提升總風險和特定風險。
(四) 金融海嘯後，大型金控公司具有降低特定風險、破產風險和收入波動度，及顯著提升系統性風險之抵換效果。此外，資產成長率愈快反而顯著降低經營風險，顯示金融海嘯後，我國金控公司所增加之資產品質較佳。
(五) 金融海嘯前，子公司組合型態不影響經營風險。然金融海嘯後，以銀行為經營主體之金控公司跨業經營壽險或產險業，有助於降低系統性風險。
This study investigates the relationship between diversification and risk-taking in the FHCs by using the Herfindahl index to calculate the degree of diversification. Furthermore, there are 5 risk variables to be used in the research including total risk, systematic risk, specific risk, z-score, and return volatility. The followings are the empirical results when using the method of panel data analysis to examine the 14 FHCs in Taiwan during 2003Q1-2012Q4.
1. Risk in the FHCs is not 「random walk」. Besides, the larger size, lower leverage, and better liquidity FHCs can reduce specific risk and bankruptcy risk while the smaller size and higher charter value FHCs can reduce systematic risk. Moreover, return volatility and total risk can be reduced in the higher charter value and lower leverage FHCs.
2. It shows that the more diversified FHCs, the lower systematic risk and higher specific risk FHCs carry. It may means that diversification benefit needs time to be realized, and it heavily depends on the managers’ abilities of decision-making and risk-management.
3. The result also shows that before the financial crisis in 2008, the more diversified, the larger return volatility FHCs carry; while the diversification will increase the
specific risk and total risk in the FHCs after the financial crisis.
4. After the financial crisis in 2008, the larger size FHCs can reduce systematic risk, bankruptcy risk, and return volatility but increase systematic risk. Besides, the faster asset growth FHCs have lower operating risk, meaning that the quality of assets FHCs gain is better than before.
5. It shows that the subsidiary types have no impact on risk-taking in the FHCs before financial crisis in 2008. However, after the financial crisis, banks merger with life insurance and property can help to reduce its systematic risk.
參考文獻 一、 中文文獻
1. 李禮仲(2002)，｢金融控股公司法上路後看明日的台灣金融市場｣，國政研究報告。
2. 吳建良(2004)，｢資本適足率與逾期放款對銀行財務績效之影響｣，世新大學經濟學系研究所碩士論文。
3. 沈中華，張雲翔(2002)，｢金融機構跨業經營及轉投資之利潤與風險：全球實證分析｣，經濟論文，第30卷第3期： 275-310。
4. 沈中華(2002)，「銀行治理、銀行失敗與銀行績效：以臺灣為例」，亞太經濟管理評論，第6卷第1期：27-46 7
5. 秋美菁、許永明、陳寧馨(2011)，｢台灣銀行業多角化經營對績效的影響｣，商略學報，第3卷第3期：155-174。
6. 許鈺珮、張錫介(2005)，｢金融控股公司法實施對台灣銀行業經營效率影響之分析｣，金融風險管理季刊，第1卷第2期：33-56。
7. 張麗娟、鍾雅雯(2010)，｢探討台灣商業銀行國際化程度與多角化策略對經營績效之影響｣，中華管理評論國際學報，第13卷第3期：1-12。
8. 曾昭玲、陳世能、林俊宏(2005)，｢逾放比對銀行經營績效影響之多期性研究｣，台灣金融財務季刊，第6輯第4期。
9. 黃伊孜(2004)，｢公司治理、風險承擔與經營績效之關聯性－臺灣金融控股公司為例｣，國立台北大學企業管理研究所碩士論文。
10. 廖慧芳(2006)，｢金控子銀行效率分析—三階段DEA 模型之應用｣，國立中央大學產業經濟研究所碩士在職專班學位論文。
11. 劉文榮、張東生、葉俐廷(2012)，｢盈餘管理與市場競爭對合作銀行風險承擔之關聯性研究｣，東吳經濟商學學報，第78期：45-68。
12. 劉秀玲(2006)，金融控股公司下銀行經營之多角化、穩定性及績效研究，行政院金融監督管理委員會出國報告書，金管會。
13. 劉秀玲、鄭鴻章(2010)，｢金控公司架構與非利息收入金業務對台灣銀行業經營效益與風險之影響｣，台灣金融財務季刊，第11輯第4期：1-31。
14. 陳彩稚(2012)，「企業風險管理」，前程文化事業出版。
15. 蔡明志(2008)，｢考量營業風險與公司治理因素之台灣銀行業經營績效評估－DEA方法之應用｣，國立台北大學企業管理研究所碩士論文。
16. 鄭秀玲、周群新(1999)，｢調整風險後之銀行成本函數分析：以台灣銀行業為實證研究｣，經濟論文，第27卷第2期：247-281。
17. 鄭瑞真(2001)，｢成立金融控股公司之投資效率與風險評估－以我國銀行為例｣，國立中央大學財務管理研究所碩士論文。
18. 蘇哲毅(2012)，｢商業銀行淨拆款部位對經營風險的影響｣，國立中央大學財務金融研究所碩士論文。
19. 蘇怡心(2005)「金融控股公司成立前後旗下子公司經營績效之評估－Generalized Translog成本函數之應用」，國立台北大學經濟學系研究所碩士論文。

二、 英文文獻

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2. Aggarwal, R., and Jacques, K. T. (2001). The impact of FDICIA and prompt corrective action on bank capital and risk: Estimates using a simultaneous equations model. Journal of Banking & Finance, 25(6)：1139-1160.
3. Akhigbe, A., and Martin, A. D. (2008). Influence of disclosure and governance on risk of US financial services firms following Sarbanes-Oxley. Journal of Banking & Finance, 32(10)：2124-2135.
4. Akhigbe, A., and Whyte, A. M. (2003). Changes in market assessments of bank risk following the Riegle–Neal Act of 1994. Journal of banking & finance, 27(1)：87-102.
5. Allen, L., and Jagtiani, J. (2000). The risk effects of combining banking, securities, and insurance activities. Journal of Economics and Business, 52(6)：485-497.
6. Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1)：31-56.
7. Anderson, R. C., and Fraser, D. R. (2000). Corporate control, bank risk taking, and the health of the banking industry. Journal of Banking & Finance, 24(8)：1383-1398.
8. Aw, B. Y., and Batra, G. (1998). Firm size and the pattern of diversification. International Journal of Industrial Organization, 16(3)：313-331.
9. Barth, J., Caprio, G., and Levine, R. (1998). Financial regulation and performance: cross-country evidence. World Bank Policy Research Working Paper：2037.
10. Berger, A. N., and DeYoung, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6)：849-870.
11. Berger, A. N., Hasan, I., and Zhou, M. (2010). The effects of focus versus diversification on bank performance: Evidence from Chinese banks. Journal of Banking & Finance, 34(7)：1417-1435.
12. Booz, A. Hamilton (1985). Diversification, A survey of European chief executives. Booz, Allen and Hamilton Inc. New York, USA.
13. Boyd, J. H., and De Nicolo, G. (2005). The theory of bank risk taking and competition revisited. The Journal of finance, 60(3)：1329-1343.
14. Boyd, J. H., and Graham, S. L. (1988). The profitability and risk effects of allowing bank holding companies to merge with other financial firms: a simulation study. Federal Reserve Bank of Minneapolis Quarterly Review, 12(2)： 3-20.
15. Boyd, J. H., Graham, S. L., and Hewitt, R. S. (1993). Bank holding company mergers with nonbank financial firms: Effects on the risk of failure. Journal of Banking & Finance, 17(1)：43-63.
16. Boyd, J. H., and Runkle, D. E. (1993). Size and performance of banking firms: Testing the predictions of theory. Journal of Monetary Economics, 31(1)：47-67.
17. Camara, B., Laetitia, L., and Amine, T. (2010). Changes in Capital and Risk: An Empirical Study of European Banks, University of Limoges, Limoges.
18. Cebenoyan, A. S., and Strahan, P. E. (2004). Risk management, capital structure and lending at banks. Journal of Banking & Finance, 28(1)：19-43.
19. Chiorazzo, V., Milani, C., and Salvini, F. (2008). Income diversification and bank performance: evidence from Italian banks. Journal of Financial Services Research, 33(3)：181-203.
20. Cornett, M. M., Ors, E., and Tehranian, H. (2002). Bank performance around the introduction of a Section 20 subsidiary. The Journal of Finance, 57(1)：501-521.
21. Demirgüç-Kunt, A., and Huizinga, H. (2010). Bank activity and funding strategies: The impact on risk and returns. Journal of Financial Economics, 98(3)：626-650.
22. Demsetz, R. S., and Strahan, P. E. (1997). Diversification, size, and risk at bank holding companies. Journal of Money, Credit, and Banking：300-313.
23. DeYoung, R., and Roland, K. P. (2001). Product mix and earnings volatility at commercial banks: Evidence from a degree of total leverage model. Journal of Financial Intermediation, 10(1)：54-84.
24. Estrella, A. (2001). Mixing and matching: Prospective financial sector mergers and market valuation. Journal of Banking & Finance, 25(12)：2367-2392.
25. Flannery, M. J., and James, C. M. (1984). The effect of interest rate changes on the common stock returns of financial institutions. The Journal of Finance, 39(4)：1141-1153.
26. Gallo, J. G., Apilado, V. P., and Kolari, J. W. (1996). Commercial bank mutual fund activities: Implications for bank risk and profitability. Journal of Banking & Finance, 20(10)：1775-1791.
27. Galloway, T. M., Lee, W. B., and Roden, D. M. (1997). Banks` changing incentives and opportunities for risk taking. Journal of Banking & Finance, 21(4)：509-527.
28. Ghosh, S. (2009). Charter value and risk-taking: evidence from Indian banks. Journal of the Asia Pacific economy, 14(3)：270-286.
29. Hellmann, T. F., Murdock, K. C., and Stiglitz, J. E. (2000). Liberalization, moral hazard in banking, and prudential regulation: Are capital requirements enough?. American economic review：147-165.
30. Iannotta, G., Nocera, G., and Sironi, A. (2007). Ownership structure, risk and performance in the European banking industry. Journal of Banking & Finance, 31(7)：2127-2149.
31. Keeley, M. C. (1990). Deposit insurance, risk, and market power in banking. The American Economic Review：1183-1200.
32. Kroszner, R. S., and Rajan, R. G. (1994). Is the Glass-Steagall Act justified? A study of the US experience with universal banking before 1933. The American Economic Review：810-832.
33. Kwan, S., and Eisenbeis, R. A. (1997). Bank risk, capitalization, and operating efficiency. Journal of Financial Services Research, 12(2-3)：117-131.
34. Laderman E. S.(2000). The Potential Diversification and Failure Reduction Benefits of Bank Expansion into Nonbanking Activities, Federal Reserve Bank of San Francisco, Working Paper.
35. Lepetit, L., Nys, E., Rous, P., and Tarazi, A. (2008). Bank income structure and risk: An empirical analysis of European banks. Journal of Banking & Finance, 32(8)：1452-1467.
36. Liang, N., and Rhoades, S. A. (1988). Geographic diversification and risk in banking. Journal of Economics and Business, 40(4)：271-284.
37. Liu, C. C., and Ryan, S. G. (1995). The effect of bank loan portfolio composition on the market reaction to and anticipation of loan loss provisions. Journal of Accounting Research, 33(1)：77-94.
38. Lown, C., Osler, C., Sufi, A., and Strahan, P. (2000). The changing landscape of the financial services industry: what lies ahead?. FRB of New York Economic Policy Review, 6(4)：39-55.
39. Martinez-Miera, D., and Repullo, R. (2010). Does competition reduce the risk of bank failure?. Review of Financial Studies, 23(10)：3638-3664.
40. Mester, L. J. (1997). Measuring efficiency at US banks: Accounting for heterogeneity is important. European Journal of Operational Research, 98(2)：230-242.
41. Morgan, D. P., and Samolyk, K. (2003). Geographic diversification in banking and its implications for bank portfolio choice and performance. Unpublished paper, Federal Reserve Bank of New York.
42. Niu J. (2012). An empirical analysis of the relation between bank charter value and risk taking, The Quarterly Review of Economics and Finance, 52(3): 298–304.
43. Obi, C. P., and Emenogu, A. (2003). Bank holding company expansion into nonbank functions: is the rise in systematic risk rewarded?. Managerial Finance, 29(8)：9-22.
44. Pathan S. (2009), Strong boards, CEO power and bank risk-taking, Journal of Banking & Finance, 33(7): 1340–1350.
45. Ramanujam, V., and Varadarajan, P. (1989). Research on corporate diversification: A synthesis. Strategic management journal, 10(6)：523-551.
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53. Templeton, W. K., and Severiens, J. T. (1992). The effect of nonbank diversification on bank holding company risk. Quarterly Journal of Business and Economics：3-17.
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描述 碩士
國立政治大學
風險管理與保險研究所
100358020
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003580202
資料類型 thesis
dc.contributor.advisor 陳彩稚zh_TW
dc.contributor.author (Authors) 簡湘庭zh_TW
dc.creator (作者) 簡湘庭zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 22-Jul-2013 11:18:51 (UTC+8)-
dc.date.available 22-Jul-2013 11:18:51 (UTC+8)-
dc.date.issued (上傳時間) 22-Jul-2013 11:18:51 (UTC+8)-
dc.identifier (Other Identifiers) G1003580202en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58942-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 100358020zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本研究探討我國金控公司多角化程度與經營風險之關聯性。以Herfindahl 指標衡量金控相關多角化之程度，研究當金控公司多角化程度愈高，是否顯著降低公司總風險、系統性風險、特定風險、破產風險與收入波動度。本研究以我國十四家金控公司為樣本對象，並取2003年Q1至2012年Q4之季資料，透過迴歸分析進行實證研究。主要研究結果如下：
(一) 風險並非｢隨機漫步｣，具有持續性之影響。當公司規模愈大、槓桿程度愈低且流動性佳之金控，較能降低特定風險和破產風險。而公司規模小、繼續經營價值高之金控公司，有助於降低系統性風險。此外，繼續經營價值高、槓桿程度低之金控公司，則能降低總風險和穩定收入波動度。
(二) 實證顯示，我國金控公司多角化程度愈高，愈能有效降低系統性風險。然特定風險將隨多角化程度提高而上升。針對於此，本研究推測多角化效益存在時間上之落差，且須仰賴經理人決策與風險管理之能力。此外，金控旗下納入銀行子公司，將顯著提升破產風險。
(三) 金融海嘯前，金控公司多角化程度愈高，收入波動度愈大。然金融海嘯發生後，多角化程度高之金控公司，則將提升總風險和特定風險。
(四) 金融海嘯後，大型金控公司具有降低特定風險、破產風險和收入波動度，及顯著提升系統性風險之抵換效果。此外，資產成長率愈快反而顯著降低經營風險，顯示金融海嘯後，我國金控公司所增加之資產品質較佳。
(五) 金融海嘯前，子公司組合型態不影響經營風險。然金融海嘯後，以銀行為經營主體之金控公司跨業經營壽險或產險業，有助於降低系統性風險。		zh_TW
dc.description.abstract (摘要) This study investigates the relationship between diversification and risk-taking in the FHCs by using the Herfindahl index to calculate the degree of diversification. Furthermore, there are 5 risk variables to be used in the research including total risk, systematic risk, specific risk, z-score, and return volatility. The followings are the empirical results when using the method of panel data analysis to examine the 14 FHCs in Taiwan during 2003Q1-2012Q4.
1. Risk in the FHCs is not 「random walk」. Besides, the larger size, lower leverage, and better liquidity FHCs can reduce specific risk and bankruptcy risk while the smaller size and higher charter value FHCs can reduce systematic risk. Moreover, return volatility and total risk can be reduced in the higher charter value and lower leverage FHCs.
2. It shows that the more diversified FHCs, the lower systematic risk and higher specific risk FHCs carry. It may means that diversification benefit needs time to be realized, and it heavily depends on the managers’ abilities of decision-making and risk-management.
3. The result also shows that before the financial crisis in 2008, the more diversified, the larger return volatility FHCs carry; while the diversification will increase the
specific risk and total risk in the FHCs after the financial crisis.
4. After the financial crisis in 2008, the larger size FHCs can reduce systematic risk, bankruptcy risk, and return volatility but increase systematic risk. Besides, the faster asset growth FHCs have lower operating risk, meaning that the quality of assets FHCs gain is better than before.
5. It shows that the subsidiary types have no impact on risk-taking in the FHCs before financial crisis in 2008. However, after the financial crisis, banks merger with life insurance and property can help to reduce its systematic risk.		en_US
dc.description.tableofcontents 第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究範圍與目的 4
第四節 研究流程 6
第貳章 文獻回顧 8
第一節 金融控股公司經營風險指標之相關文獻 8
第二節 金控多角化具正面影響之相關文獻 14
第三節 金控多角化具負面影響之相關文獻 17
第四節 子公司組合對金控經營風險之影響 20
第參章 研究方法 23
第一節 研究假設 23
第二節 變數定義 26
第三節 資料來源與範圍 34
第四節 研究模型 36
第四章 實證分析與結果 39
第一節 敘述性統計 39
第二節 相關性分析 44
第三節 複迴歸分析 51
第四節 追蹤資料模型分析 54
第五節 延伸研究 62
第伍章 結論與建議 72
第一節 研究結論 72
第二節 研究限制 75
第三節 未來研究建議 76
附錄一：國內金控公司基本資料表 78
參考文獻 83		zh_TW
dc.format.extent 2569213 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003580202en_US
dc.subject (關鍵詞) 金融控股公司zh_TW
dc.subject (關鍵詞) 經營風險zh_TW
dc.subject (關鍵詞) 多角化zh_TW
dc.subject (關鍵詞) 子公司組成型態zh_TW
dc.title (題名) 金控公司多角化程度對經營風險之影響zh_TW
dc.title (題名) The Impact of Diversification on Risk-taking in The Financial Holding Companiesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、 中文文獻
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