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題名 股權結構、投資人保護之於大型金融機構的信用風險承擔
Ownership Structure, Investor Protection in the Credit Risk Taking of Large Complex Financial Institutions作者 吳健瑋
Wum, Windows貢獻者 江彌修
Chiang, Derek
吳健瑋
Wum, Windows關鍵詞 股權結構
投資人保護
信用風險
大型金融機構
Ownership structure
Investor protection
Financial institution
Credit risk日期 2013 上傳時間 7-Jul-2014 11:13:03 (UTC+8) 摘要 本文針對金融海嘯時期,信用風險大幅擴張的階段,藉由大股東持股比例、 銀行持股比例、政府持股比例分析其對於各家大型金融機構的信用風險之影響, 本文主要採用 Bloomberg 資料庫以及 Bankscope 資料庫,期間涵蓋 2003 年至 2013 年全球資本排名前 60 的大型金融機構的季資料,並透過縱橫資料的技術來分析 股權結構與信用風險之間的相關性。 結論顯示在危機發生的期間時,政府對於大型金融機構的信用風險存在顯著 的抑制效果,本文接著依照過去文獻對投資人的股權保護程度加以分類後,發現 與過去分析總風險和股權結構之間的關係之結果並不相同,以往的結果顯示,保 護程度比較差的國家中,政府對於公司的風險以及公司決策會存在比較大的影響 力,並會進而降低公司的風險,然而本文得到的結果是投資人股權保護程度比較 強的區域裡面,政府對於降低大型金融機構的信用風險會有著比較顯著的影響 性。
In this thesis, we investigate the level of credit risk taking concerning the ownership structure in large complex financial institutions during the sub-prime crisis period. We use quarterly data of the top 60 large financial institutions based on Bloomberg and Bankscope, covering the interval from 2003 to 2013. From our results, we show that there is negative relationship between the level of risk and government ownership on banks. Furthermore, if we categorize the banks regarding its investor protection, our findings support that government ownership on banks has a significant effect in countries where it provides stronger protection to investors during financial crisis. Different from previous works, which states that in country with less investor protection, government ownership on banks has more influence power, here we arrive at an opposite result. We conclude that increasing government ownership can significantly reduce the level of credit risk on banks.參考文獻 Anderson, Ronald C. ., Donald R. Fraser., 2000. Corporate control, bank risk, and the health of the banking industry. Journal of banking and finance 24, 1383-1398. Capiro, Gerard., Luc Laeven., Ross Levine., 2007. Government and Bank Valuation. Journal of Financial Intermediation 16, 584-617. John, Kose., Lubomir Litov., Bernard Yeung., 2008. Corporate governance and risk taking. The journal of finance 4, 1679-1728. Konishi, Masaru., Yukihiro Yasuda., 2004. Factors affecting bank risk taking: Evidence from Japan. Journal of Banking and Finance 28, 215-232. La Porta, Rafael., Florencio Lopez-de-Silanes., Andrei Shleifer., and Robert W. Vishny., 1998. Law and finance. Journal of Political Economy 106, 1113–1155. La Porta, Rafael., Florencio Lopez-de-Silanes., Andrei Shleifer., and Robert W. Vishny., 1999. The quality of government. Journal of Law, Economics and Organization 15, 222–279. La Porta, Rafael., Florencio Lopez-de-Silanes., Andrei Shleifer., Robert W. Vishny., 2000. Investor protection and corporate governance. Journal of Financial Economics 57, 265-301. Laeven, Luc., Ross Levine., 2009. Bank governance, regulation and risk taking. Journal of Financial Economics 93, 259-275. Nakamura, Masao., Randall Morck., 1999. Banks and corporate control in Japan. Journal of Finance 54, 319-339. Ötker-Robe, İnci., Jiri Podpiera., 2010. The fundamental determinants of credit default risk for European large complex financial institutions. IMF working paper. Saunder, Anthony., Elizabeth Strock., Nicklaos G. Travlos., 1990. Ownership structure, deregulation, and bank risk taking. The journal of finance 45, 643-654. Shliefer, Andrei., Daniel Wolfenzon., 2002. Investor protection and equity markets. Journal of financial economics 66, 3-27. Thomsen, Steen., Torben Pedersen., 2000. Ownership structure and economic performance in the largest European companies. Strategic management Journal 21, 689-705. 描述 碩士
國立政治大學
金融研究所
101352030
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352030 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.advisor Chiang, Derek en_US dc.contributor.author (Authors) 吳健瑋 zh_TW dc.contributor.author (Authors) Wum, Windows en_US dc.creator (作者) 吳健瑋 zh_TW dc.creator (作者) Wum, Windows en_US dc.date (日期) 2013 en_US dc.date.accessioned 7-Jul-2014 11:13:03 (UTC+8) - dc.date.available 7-Jul-2014 11:13:03 (UTC+8) - dc.date.issued (上傳時間) 7-Jul-2014 11:13:03 (UTC+8) - dc.identifier (Other Identifiers) G0101352030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67330 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 101352030 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本文針對金融海嘯時期,信用風險大幅擴張的階段,藉由大股東持股比例、 銀行持股比例、政府持股比例分析其對於各家大型金融機構的信用風險之影響, 本文主要採用 Bloomberg 資料庫以及 Bankscope 資料庫,期間涵蓋 2003 年至 2013 年全球資本排名前 60 的大型金融機構的季資料,並透過縱橫資料的技術來分析 股權結構與信用風險之間的相關性。 結論顯示在危機發生的期間時,政府對於大型金融機構的信用風險存在顯著 的抑制效果,本文接著依照過去文獻對投資人的股權保護程度加以分類後,發現 與過去分析總風險和股權結構之間的關係之結果並不相同,以往的結果顯示,保 護程度比較差的國家中,政府對於公司的風險以及公司決策會存在比較大的影響 力,並會進而降低公司的風險,然而本文得到的結果是投資人股權保護程度比較 強的區域裡面,政府對於降低大型金融機構的信用風險會有著比較顯著的影響 性。 zh_TW dc.description.abstract (摘要) In this thesis, we investigate the level of credit risk taking concerning the ownership structure in large complex financial institutions during the sub-prime crisis period. We use quarterly data of the top 60 large financial institutions based on Bloomberg and Bankscope, covering the interval from 2003 to 2013. From our results, we show that there is negative relationship between the level of risk and government ownership on banks. Furthermore, if we categorize the banks regarding its investor protection, our findings support that government ownership on banks has a significant effect in countries where it provides stronger protection to investors during financial crisis. Different from previous works, which states that in country with less investor protection, government ownership on banks has more influence power, here we arrive at an opposite result. We conclude that increasing government ownership can significantly reduce the level of credit risk on banks. en_US dc.description.tableofcontents 壹、 前言....................................................................................................................1 貳、 文獻回顧............................................................................................................4 參、 研究分析............................................................................................................9 一. 1. 2. 3. 二. 一. 二. 三. 1. 2. 3. 4. 實證資料.........................................................................................................10 風險衡量指標 ...................................................................................................11 銀行因子衡量指標 ...........................................................................................12 股東持股資料 ...................................................................................................12 研究方法.........................................................................................................13 肆、 實證結果..........................................................................................................16 敘述統計.........................................................................................................17 危機期間與危機後期間.................................................................................20 投資人股權保護程度.....................................................................................29 股權保護程度分類 ...........................................................................................29 資料描述 ...........................................................................................................31 各類股東持股比例走勢 ...................................................................................34 迴歸結果 ...........................................................................................................37 伍、 結論..................................................................................................................45 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352030 en_US dc.subject (關鍵詞) 股權結構 zh_TW dc.subject (關鍵詞) 投資人保護 zh_TW dc.subject (關鍵詞) 信用風險 zh_TW dc.subject (關鍵詞) 大型金融機構 zh_TW dc.subject (關鍵詞) Ownership structure en_US dc.subject (關鍵詞) Investor protection en_US dc.subject (關鍵詞) Financial institution en_US dc.subject (關鍵詞) Credit risk en_US dc.title (題名) 股權結構、投資人保護之於大型金融機構的信用風險承擔 zh_TW dc.title (題名) Ownership Structure, Investor Protection in the Credit Risk Taking of Large Complex Financial Institutions en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Anderson, Ronald C. ., Donald R. Fraser., 2000. Corporate control, bank risk, and the health of the banking industry. Journal of banking and finance 24, 1383-1398. Capiro, Gerard., Luc Laeven., Ross Levine., 2007. Government and Bank Valuation. Journal of Financial Intermediation 16, 584-617. John, Kose., Lubomir Litov., Bernard Yeung., 2008. Corporate governance and risk taking. The journal of finance 4, 1679-1728. Konishi, Masaru., Yukihiro Yasuda., 2004. Factors affecting bank risk taking: Evidence from Japan. Journal of Banking and Finance 28, 215-232. La Porta, Rafael., Florencio Lopez-de-Silanes., Andrei Shleifer., and Robert W. Vishny., 1998. Law and finance. Journal of Political Economy 106, 1113–1155. La Porta, Rafael., Florencio Lopez-de-Silanes., Andrei Shleifer., and Robert W. Vishny., 1999. The quality of government. Journal of Law, Economics and Organization 15, 222–279. La Porta, Rafael., Florencio Lopez-de-Silanes., Andrei Shleifer., Robert W. Vishny., 2000. Investor protection and corporate governance. Journal of Financial Economics 57, 265-301. Laeven, Luc., Ross Levine., 2009. Bank governance, regulation and risk taking. Journal of Financial Economics 93, 259-275. Nakamura, Masao., Randall Morck., 1999. Banks and corporate control in Japan. Journal of Finance 54, 319-339. Ötker-Robe, İnci., Jiri Podpiera., 2010. The fundamental determinants of credit default risk for European large complex financial institutions. IMF working paper. Saunder, Anthony., Elizabeth Strock., Nicklaos G. Travlos., 1990. Ownership structure, deregulation, and bank risk taking. The journal of finance 45, 643-654. Shliefer, Andrei., Daniel Wolfenzon., 2002. Investor protection and equity markets. Journal of financial economics 66, 3-27. Thomsen, Steen., Torben Pedersen., 2000. Ownership structure and economic performance in the largest European companies. Strategic management Journal 21, 689-705. zh_TW
