本研究針對2002-2009年間東南亞國協主要國家及亞洲四小龍,進行銀行競爭程度檢定及競爭程度之影響因素分析。本研究首先應用非結構法中的Panzar-Rosse檢定法之動態模型來估計代表各國銀行業競爭程度之H統計值,並進一步以追蹤資料迴歸分析法來探討競爭程度與銀行集中度、規模效率、資本結構、經濟成長及獲利性間的相關性,並加入政府治理變數,以觀察政府治理品質對競爭程度與獲利能力之間的關聯性。 本研究首先應用Arellano and Bond(1991)的一般動差法至動態Panzar-Rosse模型,實證結果發現在非均衡狀態下使用靜態模型將造成向零偏誤之結果且忽略自我相關變數將使H估計值出現偏誤,此結果與Goddard and Wilson(2009)看法一致。競爭程度檢定結果發現,各國銀行業之市場結構除了南韓及菲律賓為完全競爭狀態外,香港、台灣、印尼、馬來西亞、新加坡、泰國及越南等皆為獨佔均衡狀態,此結果顯示各國並未出現過度競爭的情形。 為了探討競爭程度之影響因素,本研究進一步使用追蹤資料分析法,以靜態模型之H值為應變數,觀察各影響因素與H值間的關係,實證結果發現當市場集中度提高時,會使獨佔力上升競爭程度降低。銀行規模效率越高,將會增加市場佔有率,競爭程度將降低。經濟越成長廠商獲利機會增加,市場競爭程度將提高,而股東權益比率與H值為負相關,表示有較好資本結構的銀行,會有較高的特許權價值,使得具有較高的獨佔力。單獨看銀行資產報酬率與競爭程度H值之直接效果皆為正,代表獲利能力增加時,銀行競爭程度會提高,但政府治理變數會減弱競爭程度與資產報酬率的正向關係,並且當政府治理評比高過某分數後,資產報酬率對銀行競爭程度之影響將由正向轉為負向關係。
The purpose of this study is to analyze the market structure and its determinants of commercial banks in five major ASEAN countries and four Newly Industrialized Asian countries using both dynamic and static specifications for the period of 2002-2009. A Generalized Method of Moment (GMM) of Arellano and Bond (1991) was first applied to a dynamic Panzar-Rosse (P-R) model to test the degree of competition for all nine Asian countries. A Panel Data Analysis was then employed to the H-statistics estimated from the static P-R model to analyze the determinants of the degree of competition in Asian banking industry. Major empirical results are as follows. First, as found by Goddard and Wilson (2009), when market is in disequilibrium, traditional static P-R model is found to be biased toward zero, while the ignorance of autocorrelation will also result in a biased H statistics as well. GMM estimation results of dynamic P-R model show that banking industries of South Korea and Philippine exhibit a perfect competition market structure, while the rest countries of Taiwan, Hong Kong, Indonesia, Malaysia, Singapore, Thailand, and Vietnam are all found to exhibit a monopoly market structure. Results above indicate that there exists no severe overbanking problem in the banking industries of nine major Asian countries. Second, estimation results of Panel Data Analysis on H statistics of static model show that the higher the market concentration and scale efficiency of Asian banking industry the larger the monopoly market power and the less competitiveness. The higher economic growth will increase bank profitability and its competitiveness. The lower the equity ratio of the banking industry indicating a higher franchise value of banks will result in a higher monopoly power. A positive direct effect of ROA on H statistics shows that the higher bank earnings will result in a higher degree of competition. However, government governance will indirectly weaken the positive effect of ROA on H statistics. At certain high degree of government governance, the effect of ROA on H statistics will even turn to negative.