探討調整後淨資本額比率對專營期貨商財務績效之關聯性影響

The Impact of Adjusted Net Capital Ratio on Fcm’s Financial Performance

廖信宏(HSIN-HONG LIAO)

指導教授 ： 聶建中 ； 吳孟紋

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2013年)

摘要

鑑於國內對於期貨商調整後淨資本額比率的研究大多僅以探討風險為主題，而針對與財務績效影響的研究實在少之又少，而調整後淨資本額比率是否如同銀行業或證券業的自有資本適足率對於財務績效有門檻的效果影響，值得深入研究。本研究主要探討調整後淨資本額比率對專營期貨商財務績效之關聯性影響，並臆測專營期貨商之稅後每股盈餘、資產報酬率及股東權益報酬率等財務績效受調整後淨資本額比率或其他解釋變數的影響而存在非線性之現象。更進一步運用Gonza'les, Teräsvirta and Dijk（2004,2005）所發展之縱橫平滑移轉迴歸模型，以我國14家專營期貨商為研究對象，研究期間選自2001年起至2010年止，探討調整後淨資本額比率高低對專營期貨商之財務績效是否存在縱橫平滑移轉之效果。
本文實證結果之發現：調整後淨資本額比率對專營期貨商之稅後每股盈餘確實存在縱橫平滑移轉效果，在調整後淨資本額比率為108.06%時產生一轉換區間，且因轉換速度僅22.5289，使得模型在轉換門檻附近形成一平滑的轉換過程。調整後淨資本額比率和專營期貨商資產報酬率間之縱橫平滑移轉模型，調整後淨資本額比率在153.49%與192.51%之間發生結構性變化，但因轉換速度達3.9730e+004，使得模型在轉換門檻附近形成一結構性改變的跳躍式模型。調整後淨資本額比率對專營期貨商之股東權益報酬率確實存在縱橫平滑移轉效果，在調整後淨資本額比率為102.92%時產生一轉換區間，但因轉換速度僅11.3381，使得模型在轉換門檻附近形成一平滑的轉換過程。解釋變數對專營期貨商財務績效之影響方面，在調整後淨資本額比率越大下，增加實收資本額將會降低專營期貨商之稅後每股盈餘及股東權益報酬率，對但專營期貨商之資產報酬率卻無顯著影響；擴充資產規模將使專營期貨商之稅後每股盈餘、資產報酬率及股東權益報酬率同時增加；提升調整後淨資本額比率將會使專營期貨商之稅後每股盈餘增加。

關鍵字

調整後淨資本額比率 ； 期貨商 ； 財務績效 ； 縱橫平滑移轉迴歸模型

並列摘要

The study on the adjusted net capital ratio (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 or security’s financial performance is worth investigating. Therefore, this research aims to explore the non-linear relationship between ANC% and the fcm’s financial performance(include after-tax earnings per share, return of assets, return of equity).This study adopts the empirical model of Gonza'les, Teräsvirta and Dijk（2004,2005） to verify whether the panel smooth transition effect exists in the above-mentioned variables by using a full yearly data set from 14 fcms in Taiwan, through 2001 to 2010.
The study has conclusions as follows:The panel smooth transition effect indeed exists between the ANC% and the fcm’s earnings per share after tax. The transition regimes provides a smooth transition process around the threshold where the value of ANC% is 108.06% and the transition speed is 22.5289.Nevertheless, the panel smooth transition regression model results in a structural variance when applying for the effect between the ANC% and the fcm’s return of asset. The model is transformed into a leap model around the threshold where the value of ANC% between 153.49% and 192.51%, and the transition speed is soaring as high as 3.9730e+004.The panel smooth transition effect indeed exists between the ANC% and the fcm’s return of equity .The transition regimes provides a smooth transition process around the threshold where the value of ANC% is 102.92% and the transition speed is 11.3381.Moreover, introducing other independent variables into the model, when ANC% over the threshold, considering the impact on the fcm’s financial performance, it suggests that increase in paid-in capital will be reduced the fcm’s after-tax earnings per share and return on equity, but no significant impact on the return on assets. Expansion of asset size will make the fcm’s after-tax earnings per share, return on assets and return on equity at the same time. However, enhance of ANC% will make the fcm’s after-tax earnings per share increased.

並列關鍵字

Adjusted Net Capital Ratio ； Futures Commission Merchants ； Financial Performance ； Panel Smooth Transition Regression Model

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