以非線性方法探討調整後淨資本額與期貨商財務績效之關聯－縱橫平滑移轉模型之應用

Nonlinear Analysis for the Effect of ANC on Financial Performance of Futures company – an Application of PSTR

楊書禹(Shu-Yu Yang)

指導教授 ： 聶建中 ； 謝劍平

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00425

摘要

有鑑於國內對期貨商調整後淨資本額的研究大多圍繞在風險的探討，而針對財務績效的研究探討較少，對於調整後淨資本額是否如同銀行的自有資本適足率對於財務績效有門檻效果存在，值得探討。因此本研究擬運用 , and （2004, 2005）所發展之縱橫平滑移轉迴歸模型，探討調整後淨資本額規範對期貨商財務績效是否存在平滑移轉效果，使得調整後淨資本額規範對期貨商財務績效的影響呈現非線性之影響關係。藉此調整後淨資本額規範對期貨商財務績效平滑移轉效果之研究分析，期能夠提供期貨商財務績效提昇效果之策略建議。　　
進行縱橫平滑移轉迴歸模型之探究，本研究實證結果顯示，轉換函數之估計結果，在ANC比率為5.7329%時發生結構性變化，即產生一轉換區間，轉換速度為548.4963，表示ANC比率對稅後純益存在平滑移轉效果，惟其轉換速度極大，呈現跳躍式，如同Hansen的非線性門檻模型。
由小於門檻值及大於門檻值之ANC比率對稅後純益之各係數加總效果綜合分析。表徵期貨商規模的股本大小對稅後純益之影響由正向轉為負向，且皆呈現顯著，結果表示在ANC比率增加情況下，於下區間時，期貨商股本之增加將有效提升期貨商的財務績效；反之，於上區間時，應適切減少期貨商的股本，以防股本過大而侵蝕期貨商之財務績效。另外，觀察ANC比率亦同時作為控制變數之表現，實證發現ANC比率無論於門檻值之上或下區間，ANC比率對期貨商財務績效均呈現負向之影響關係，尤其於上區間之結果呈現顯著影響，其負向影響程度更為加劇。

關鍵字

調整後淨資本額 ； 期貨商 ； 縱橫平滑移轉回歸模型

並列摘要

The study on the adjusted net capital (ANC) of the domestic futures commission merchants focus more on the effect of ANC on the risk, but not on the financial performance. However, the question that is the ANC analogous to the capital adequacy ratio (CAR) having the threshold effect on bank’s financial performance is worth investigating. Therefore, this research employs panel smooth transition regression model (PSTR) elaborated by , and (2004, 2005) to investigate the nonlinear smooth transition effect of the ANC on the financial performance of the futures commission merchant. The results hopefully can be utilized as valuable reference to futures commission merchant’s strategy setup.
The result from our PSTR investigation shows that there exists a threshold value for the ANC at the rate of 5.7329% and the speed of transition with the slope of 548.4963 is nearly the Hansen’s (1999) nonlinear threshold model which jumps abruptly.
The overall analyses for the upper and lower regions are summarized as follows. We first find that the effect of the size on the earning for the futures commission merchants in Taiwan turns from positive to negative across the threshold value of ANC ratio at 5.7329% , both regions are shown to be significant. This implies that it’s better to increase the company size under the lower region and decrease it under the upper region in order to increase the financial performance for futures commission merchants. Moreover, when ANC ratio is also used as an explanatory variable, we empirically find that negative effects of the ANC ratio on the financial performance are shown under both the lower and upper regions. The negative impact of ANC ratio on financial performance is even worse and significant under the upper region.

並列關鍵字

ANC ； Futures Commission Merchants ； Panel Smooth Transition Regression model

參考文獻

Kandir, S. Y., (2010), “Investigating Investment Preferences of Institutional Investors toward ISE Companies,” ISE Review, 11(44), pp.29-55.

王雍智與潘家玲 (2010)，「資本結構與公司績效關聯性之研究-台灣股市的新啟示」，企業管理學報，第85期，頁71-110

周恆志與杜玉振 (2008)，「指數期貨的極端執行為與保證金水準之設定」，企業管理學報，第76期，頁129-64

曾昭玲、陳世能與林俊宏 (2005)，「逾放比對期貨商經營績效影響之多期性研究」，台灣金融財務季刊，第6卷第4期，頁41-68

孫梅瑞與蕭瑞子 (2008)，「國際多角化與企業績效、企業風險的關聯性及其影響因素之研究」，管理與系統，第15卷第4期，頁617-43