The Impact of Deposit Insurance on the Risks and Returns of Commercial Banks: Evidence from China

存款保險對商業銀行的風險與回報的影響：來自中國的證據

Ming-Hua Liu ； Yang Zhang ； Kaimeng Zheng

《財務金融學刊》 27卷1期 (2019/03) Pp. 1-29

https://doi.org/10.6545/JFS.201903_27(1).0001

摘要

We examine the impact of China's newly implemented deposit insurance policy on the risks and returns of listed Chinese commercial banks. Using a standard event study methodology, we find a positive and statistically significant influence of deposit insurance policy announcement on shareholders' wealth of listed Chinese banks, especially when volume-weighted average stock returns are analyzed. Further analysis shows that joint-equity banks benefit more from the announcements. Using the Z-score and liquidity ratio as proxies of bank risks, we find that deposit insurance policies tend to increase bank risks, probably due to the moral-hazard problem.

關鍵字

Chinese banks ； deposit insurance ； event study ； liquidity risk ； Z-score

並列摘要

本文研究中國新存款保險政策對上市中國商業銀行風險和收益的影響。透過標準事件研究方法，我們發現存款保險政策公告對上市中國中銀行股東資產有正向顯著影響。進一步分析顯示，合資銀行從公告中獲益更多。我們還發現存款保險政策傾向於增加銀行風險，可能起因於道德風險問題。

並列關鍵字

中國銀行 ； 存款保險 ； 事件研究 ； 流動性風險 ； Z-score

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