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研究生:洪新琇
研究生(外文):HSIN-HSIU HUNG
論文名稱:次貸金融危機對全球前二百大銀行財務績效之影響
論文名稱(外文):The Impact of the Sub-prime Crisis on the World''s Top 200 Largest Banks'' Financial Performance
指導教授:方豪方豪引用關係
指導教授(外文):Hao Fang
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士在職專班
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:2010
畢業學年度:98
語文別:中文
論文頁數:48
中文關鍵詞:規模市場成熟度次貸金融危機銀行財務績效
外文關鍵詞:sizemarket maturityfinancial performancebanksub-prime financial crisis
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本研究之議題探討於次貸金融危機發生前後,全球前二百大銀行在財務績效上的差異與改變。研究採用權益比、資本適足率、備抵呆帳覆蓋比率、營業成本率、固定資產週轉率、資產報酬率、權益報酬率、流動比率及營業收入成長率等九項銀行重要之財務績效變數,使用CAMEL信評法以深入探討在金融危機發生後商業銀行在資本適足性、資產品質、管理績效、獲利能力、流動性與成長性指標等哪些財務績效構面有明顯之負面衝擊。本研究進一步剖析銀行規模是否能抵禦該危機對其財務績效之負面影響,又該危機發生後究係呈現位於已開發市場的銀行或位於新興市場者受到負面之衝擊較大,期能對日後金融危機發生時銀行經營管理提出參考資訊。
本研究實證結果顯示,次貸金融危機發生重創商業銀行之資本適足性、資產品質、獲利能力及成長性指標,並同時推升管理績效之風險。以市場成熟度為調節變數之實證結果呈現,新興市場之商業銀行於資產品質構面顯著地轉弱;而已開發市場之商業銀行則於管理績效明顯變差,同時其於資本適足性及成長性指標風險明顯增加。以銀行規模為調節變數之實證結果呈現,資本額較小之商業銀行相較資本額較大者於管理績效與獲利能力等財務績效構面顯著地轉弱,同時也推升其資本適足性及管理績效的風險。總資產較小之商業銀行相較總資產較大者於獲利能力財務績效構面顯著地轉弱,同時增加資本適足性及獲利能力的風險。
此次貸金融危機發生以發行金融資產證券化商品為主的巳開發歐美市場受到衝擊最為直接,故其負面衝擊明顯較大;而新興市場因資本限制及金融深化程度不如歐美已開發市場,故受到次貸危機發生的影響較為間接。更重要的是,本研究結果證實次貸金融危機發生後規模較大之商業銀行有助於減緩該危機對其獲利能力之負面影響,此結果也印證Li(2003)等學者的文獻論述,即規模較大的銀行有助於抵抗金融危機發生所造成之衝擊。
This research discusses the changes with the world''s top 200 largest banks'' financial performance in light of the subprime mortgage financial crisis. The research uses nine major bank financial performance variables including the equity ratio, capital adequacy rate, allowance for bad debt coverage ratio, operating cost ratio, fixed asset turnover rate, rate of return on assets, rate of return on equity, current ratio and operating income growth rate, as well as the use of CAMEL Rating Method to conduct in-depth studies on the apparent negative impact on major commercial bank''s capital adequacy, asset quality, management performance, earnings, liquidity and other growth indicators after the financial crisis. This research further analyses whether the scale of a bank can better withstand the negative impacts of this crisis on its financial performance, and shows if the banks in developed markets were impacted more adversely than their counterparts in the emerging markets. It also anticipates to offer the management in the banking industry a useful reference in future crisis.

The empirical results show that the subprime mortgage financial crisis greatly damaged the capital adequacy, asset quality, earnings and growth indicators of commercial banks, while pushing up the risk of management performance. Based on the market maturity adjustment variables this empirical results show that the dimensions in relation to asset quality of commercial banks in emerging markets has weakened significantly. At the same time the managing performance of commercial banks in developed markets has now significantly become worse, and its risk in capital adequacy and the growth indicators has also greatly increased .The empirical results based on scale of banks as moderating factors show that the capital management performance and earnings in the financial performance of the commercial banks with larger capital has significantly weakened compare to their smaller counterparts. Their risk of capital adequacy and management performance has also largely increased. Commercial banks with smaller assets has performed significant weaker in terms of financial performance and earnings, and their risk for capital adequacy as well as earnings also increased.

The sub-prime financial crisis has the most direct impact on the developed European and American market which mainly concern with the issuing of financial asset securitization products, thus the negative impact is relatively larger. Due to their capital constraints and the lesser degree of financial deepening, the emerging markets was affected only indirectly by the subprime mortgage crisis more. Importantly, this study confirmed that the larger commercial banks are better equipped to reduce the impact on the subprime financial crisis on their earnings, this result also confirmed the theories of Li (2003) and other scholars that the bigger scale banks can help combat the impact caused by future financial crisis.
目錄
圖目錄 ………………………………………………………………………………Ⅴ
表目錄 ………………………………………………………………………………Ⅵ
第壹章 緒論………………………………………………………………………… 1
第一節 研究背景與動機……………………………………………………… 1
第二節 研究目的與問題……………………………………………………… 4
第三節 研究流程圖…………………………………………………………… 5
第貳章 文獻探討…………………………………………………………………… 6
第一節 次級房貸危機相關文獻……………………………………………… 6
第二節 銀行財務績效相關文獻……………………………………………… 7
第三節 金融危機與市場成熟度相關文獻…………………………………… 8
第四節 金融危機與銀行規模相關文獻……………………………………… 8
第參章 研究方法…………………………………………………………………… 9
第一節 研究範圍及資料敘述………………………………………………… 9
第二節 研究變數………………………………………………………………13
(一)財務績效衡量…………………………………………………………13
(二)調節變項………………………………………………………………16
第三節 敘述統計檢定分析與Panel Data模型檢定及估計分析………… 17
(一)敘述統計檢定分析……………………………………………………17
(二)Panel Data 模型檢定及估計分析 …………………………………18
第肆章 實證分析與結果……………………………………………………………22
第一節 敘述統計檢定分析……………………………………………………22
第二節 Panel Data Model之實證結果分析…………………………………31
第伍章 結論…………………………………………………………………………36
參考文獻 ……………………………………………………………………………38
中文部分……………………………………………………………………… 38
英文部份……………………………………………………………………… 39



圖目錄
圖1研究流程圖 5












































表目錄
表1次貸金融危機重要記事 3
表2 2008年全球金融業次貸及相關損失資產減值金額與增資金額統計表 3
表3 126家商業銀行樣本 9
表4樣本分類 22
表5全樣本下商業銀行於次貸危機前後各變數之平均數及Z檢定結果 23
表6全樣本下商業銀行於次貸危機前後各變數之變異數及F檢定結果 23
表7資本額排名前1/5之大樣本下商業銀行於次貸危機前後各變數之平均數及Z檢定結果 24
表8資本額排名前1/5之大樣本下商業銀行於次貸危機前後各變數之變異數及F檢定結果 24
表9資本額排名後1/5小樣本下商業銀行於次貸危機前後各變數之平均數及Z檢定結果 25
表10資本額排名後1/5小樣本下商業銀行於次貸危機前後各變數之變異數及F檢定結果 25
表11總資產排名前1/5之大樣本下商業銀行於次貸危機前後各變數之平均數及Z檢定結果 26
表12總資產排名前1/5之大樣本下商業銀行於次貸危機前後各變數之變異數及F檢定結果 26
表13總資產排名後1/5之小樣本下商業銀行於次貸危機前後各變數之平均數及Z檢定結果 27
表14總資產排名後1/5之小樣本下商業銀行於次貸危機前後各變數之變異數及F檢定結果 27
表15巳開發市場之商業銀行於次貸危機前後各變數之平均數及Z檢定結果 28
表16巳開發市場之商業銀行於次貸危機前後各變數之變異數及F檢定結果 28
表17新興市場之商業銀行於次貸危機前後各變數之平均數及Z檢定結果 29
表18新興市場之商業銀行於次貸危機前後各變數之變異數及F檢定結果 29
表19固定效果或隨機效果hausman test-全樣本 31
表20 Panel Data Model-全樣本 32
表21固定效果或隨機效果hausman test-次貸後樣本 33
表22 Panel Data Model-次貸後樣本 34
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