市場集中度與銀行獲利及風險之研究

近年來，越來越多的銀行在台灣設立，但是也因此使得其獲利能力以及風險變得與以往不同，造成銀行的獲利能力下降，而風險也比過去提高。因此政府提出了許多金融政策，像是「銀行修正法」、「金融機構合併法」、「第二次金融改革」，藉此提高銀行的集中度，進而使銀行的獲利增加並且降低銀行的風險。為了探討這些金融政策是否可以影響銀行的獲利以及風險，本研究以台灣銀行業1996年9月至2016年3月近19年的資料作為研究對象，探討銀行的集中度對於獲利能力以及風險的影響、銀行集中度與其獲利性是否受銀行效率或市場獨佔力影響及銀行集中度是否對銀行風險具有影響力，並且在估計模型使用這四項是本研究之重點，在計量方面, 為了避免樣本可能有的選擇性偏誤(sample selection bias), 本文採用Heckman (1979)的「樣本選擇偏務模型」(sample selection model), 於第一階段探討銀行集中度為前四家或前八家之影響因素,第二階段除了控制影響風險的變數, 並加入選擇性偏誤修正項, 以探討在市場集中度為前4家或前8家的情況下之銀行獲利與風險的影響成因，本文使用之估計法兩階段樣本選擇模型與過去探討集中度的實證文獻完全不同，可調整方程式中的樣本選擇偏誤問題，提高估計上的有效性。而本文的實證結果得到銀行的資產規模越大時，銀行獲利性就會越高，而風險會隨著資產規模增加而降低。

關鍵字

市場集中度；樣本選擇模型；銀行風險；股東報酬率；資產報酬率。

並列摘要

In recent years, more and more banks have been set up in Taiwan, but they have also made their profitability and risk different from the past, resulting in a decline in bank profitability and a higher risk than in the past. Therefore, the Government has put forward a number of financial policies, such as "Bank Amendment Law", "Financial Institutional Consolidation Law" and "Second Financial Reform", thereby increasing the concentration of banks and increasing the bank's profit and reducing the risk. In order to explore whether these financial policies can affect the profitability and risk of the bank, this study takes the information of the banking industry from September 1996 to March 2016 as the object of study to explore the concentration of banks for profitability and risk . Whether the bank concentration and its profitability are affected by bank efficiency or market exclusivity and whether bank concentration has an impact on bank risk, and the use of these four models in estimating the model is the focus of this study. To avoid the possible sample selection bias, this article uses Heckman's (1979) sample selection model to explore the first four or eight of the bank's concentration. In the second stage, in addition to controlling the variables that affect the risk and adding selective bias corrections to explore the causes of bank profit and risk in the case of market concentration of the top four or the top eight. The two-stage sample selection model used in this paper is completely different from the empirical literature in the past. Adjust the sample selection error in the equation, and improve the validity of the estimation. The empirical results of this paper get the bank's assets larger, the higher the profitability of banks, and the risk will increase with the increase in asset size.