探討衍生性金融商品與銀行屬性和銀行獲利的關係

A Study of Relation between the Derivatives and Profitability of Banks

黃淑嬪(SHU-PIN HUANG)

指導教授 ： 施懿宸教授

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2016年)

摘要

本研究探討衍生性金融商品的操作與本國銀行獲利能力之間的關係。本研究針對衍生性金融商品取其比重最高的利率與匯率商品，區分「交易目的」之衍生性金融商品與「非交易目的」之衍生性金融商品、「利率衍生性金融商品」「匯率衍生性金融商品」、「交易目的之利率衍生性金融商品」、「非交易目的之利率衍生性金融商品」、「交易目的之匯率衍生性金融商品」及「非交易目的之匯率衍生性金融商品」，採線性迴歸方式探討其與稅前純益、資產報酬率、淨值報酬率及每股盈餘間是否有顯著關聯性。並進一步將全體樣本銀行分成官股銀行、民股銀行及外資銀行三類屬性，探討衍生性金融商品的承作對不同屬性銀行獲利影響之程度是否有所增減。
實證結果顯示，衍生性金融商品的承作與銀行獲利有顯著關係，且銀行承作「交易目的」之衍生性金融商品與獲利呈顯著正相關，而承作「非交易目的」之衍生性金融商品則與銀行獲利呈顯著負相關。此外，銀行承作「匯率衍生性金融商品」的獲利明顯優於「利率衍生性金融商品」。
就銀行屬性部分，外資銀行承作「交易目的」之衍生性金融商品有助於獲利提升，且以「利率衍生性金融商品」與銀行獲利呈顯著正相關，而民股銀行在承作「非交易目的」之衍生性金融商品對銀行獲利呈顯著正相關，而承作「匯率衍生性金融商品」獲利效益較優。官股銀行承作衍生性金融商品對銀行獲利的影響程度最不顯著，此結果與官股銀行的經營重心維持在傳統利差收入一致。

關鍵字

衍生性金融商品 ； 銀行獲利 ； 線性迴歸

並列摘要

This study is to examine the relation between the derivatives and the profitability of banks. According to the proportion of interest and exchange rate, these works distinguish derivatives from different parts, which including trading purposes and non-trading purposes derivatives, interest rate and exchange rate derivatives, trading purposes and non-trading purpose interest rate derivatives, trading purposes and non-trading purposes exchange rate derivatives.
Linear regression will be used to analyze whether there is a significant correlation between pre-tax net profits, return on assets, return on net worth and earning per share. Further, our sample will be distinguished into government, private and foreign banks, then we analyze whether the profitability of banks will be affected according to different types of banks via derivatives business.
A positive result shows that there is a significant correlation between derivatives business and profitability of banks. Moreover, the profitability of banks positively correlated with trading purposes derivatives; on the other hand, is negatively correlated to non-trading purpose derivatives. Besides, exchange rate derivatives is able to make more profitability than interest rate derivatives.
According to the types of banks, foreign banks increase their profitability by trading purposes derivatives business, and significant positively correlated with interest rate derivatives. While the profitability of private banks is high-positively correlated to non-trading purposes derivatives business, and, exchange rate derivatives can increase earning power more. Last, the profitability is most non-significant to government banks for derivatives activities, which is identical to their operating strategy – focus on traditional spread income.

並列關鍵字

derivatives ； profitability of banks ； linear regression

參考文獻

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