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研究生:邱郁芬
研究生(外文):Yu-Feng Chiu
論文名稱:金融控股公司多角化對風險之影響
論文名稱(外文):The Effects of Bank Diversifications on Risk Profile
指導教授:沈仰斌沈仰斌引用關係
指導教授(外文):Yang-Pin Shen
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:英文
論文頁數:55
中文關鍵詞:多角化賀芬達指數金融控股公司
外文關鍵詞:DiversificationHerfindahl IndexBank Holding Company
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本研究是針對美國的銀行,研究多角化對銀行風險的影響。提出三點主要的貢獻。第一,本篇使用Herfindahl index衡量銀行多角化的程度,包括資產配置上的對角化,地理上的多角化,以及貸款上的多角化。以Herfindahl Index 衡量多角化已是最新的趨勢,但是鮮少有研究對資產與地域上多角化的設計詳加闡述。其次,本篇在風險的衡量上,不僅使用代表市場風險的BETA以及代表股價波動性的STD,也採用Ronn-Verma 1986 選擇權定價模式下的銀行資產報酬的標準差RV。RV在理論上是一個較好的風險衡量方式,因為使用BETA與STD會忽略投資組合可能的潛在效果。最後,因為本篇的研究期間涵蓋1997-2001,使得本篇可以針對1999 年金融現代化法法案的影響加以闡述。本篇的結果顯示,資產多角化越高對銀行的風險來說,反而是增加的。就地域上及貸款組合的多角化而言,越多角化越可以降低銀行的風險。再者,美國銀行在1999年之後面對的風險顯著高於1999年期間,同時在此期間內,越多角化的銀行,風險同時也越低。最後,本篇針對美國金融控股公司存在期間所做的分析顯示,存在期間越久的銀行,其承擔的風險也越小。同時,對存在期間越久的銀行來說,越多角化對銀行分散風險的效果也越低。
This paper examines the effects of diversifications on the U.S banks’ risk profile. There are three main contributions of this paper. First, the degree of diversification is measured by Herfindahl index. Different from previous papers, we construct three HIs based on the bank activities, lending sectors, and geography. Therefore, we provide a broader definition of diversification. In addition, not only the market beta and standard deviation of stock price, we also employ Ronn-Verma option pricing model (1986) to define the instantaneous standard deviation of the returns on the value of the bank’s assets. The latest measure of risk is a theoretically superior measure of bank risk because potential portfolio effects are omitted when risk is measured by debt risk premium or equity risk alone. Third, based on our sample period between 1997-2001, we also test the relationship between diversifications and risk measures around 1999 Financial Services Modernization Act. Our results first show that higher diversification on asset portfolio accompany with higher risks. Second, test the changes of relationship between diversification and risks around Financial Services Modernization Act, we find the coefficients move more positive while the BHCs face higher risk. Relationships between LHI and risk measures become more positive while employing the sample of Large BHCs. Finally, older BHC facing lower risk and also accompany with more negative relationship between HIs and risks.
Contents
1. Introduction------------------------------------------------------------------------1
2. Literature Review-----------------------------------------------------------------4
3. Database----------------------------------------------------------------------------6
4. Methodology-----------------------------------------------------------------------7
4.1 Hypotheses--------------------------------------------------------------------7
4.2 Independent Variables-------------------------------------------------------8
4.2.1 Diversification Index------------------------------------------------8
4.2.2 Control Variables-----------------------------------------------------9
4.3 Dependent Variables--------------------------------------------------------11
5. Empirical Results----------------------------------------------------------------12
5.1 Data Analysis--------------------------------------------------------------12
5.2 Impacts of HIs on the risk measures------------------------------------13
5.3 Impacts of △HIs on the risk measures-------------------------------14
5.4 1999 FSMA----------------------------------------------------------------14
5.5 Size Effect------------------------------------------------------------------16
5.6 Age Effect -----------------------------------------------------------------17
5.7 Robustness Test------------------------------------------------------------18
6. Conclusion------------------------------------------------------------------------18
7. Reference-------------------------------------------------------------------------20
Figure
Figure-1 Risk for the Whole Data---------------------------------------------------25
Figure-2 Risk for Non-Mergers------------------------------------------------------25
Table
Table-1 Numbers of the Whole Data and Non-Mergers -------------------------23
Table-2 Summary Statistics of All Variables --------------------------------------23
Table-3 Correlations between HIs and Other Control Variables----------------26
Table-4 Impacts of three diversificiaotn indexes on three risk measures------29
Table-5 Impacts of △HIs on three risk measures--------------------------------32
Table-6 Impacts of HIs on Risks adding Year Dummy---------------------------35
Table-7 Impacts of HIs on Risks adding Year Dummy -------------------------40
Table-8 Statistics Summary of the Largest BHCs---------------------------------45
Table-9 Impacts of HIs for The Largest Size BHCs------------------------------46
Table-10 Statistics summary of Age for the BHCs-------------------------------49
Table-11 Impacts of HIs considering Age------------------------------------------50
Table-12 Impacts of HIs considering Age------------------------------------------53
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