市場狀況與銀行資本適足率之研究

本研究欲探討不同市場狀況下，不同資本適足率水準對於銀行股價報酬與其基本面資訊-月放款成長率、月放款變動率與月營收成長率的關係。本研究以2005年5月到2012 年6月10中10家上市上櫃的銀行為研究對象。我們考慮了相關因素的影響，其中包括Basel Ⅱ、國內銀行同業間拆借利率、金融危機與歐債危機、兩岸經濟合作架構協議(ECFA)，將我們的研究區間分為三段：2005年5月-2006年12月， 2007年1月-2008年12月，2009年1月-2012年6月。我們以Pearson相關係數分析及Granger因果關係檢定來作為本文的研究方法。研究結果發現：首先金融海嘯期間銀行的財富管理業務萎縮，銀行業務回歸至存放款；隨著Basel的實施，銀行股價與放款業務的關係以資本適足率水準高的銀行較顯著。其次泛公股銀行與集團企業銀行在第二階段金融危機期間與第三階段ECFA時期，股價報酬與其放款行為兩者存在顯著的差異行為。再來利用銀行長短期投資比率分類後，發現低投資比率銀行在不同市場大盤條件下，股價報酬與放款行為存在顯著的差異行為。最後根據Granger Cause test我們發現在第二階段與第三階段部份，銀行的資本適足率變化皆領先月放款變動率變化。

關鍵字

皮爾遜相關係數； Granger Cause檢定；巴賽爾新資本協定；資本適足比率

並列摘要

This study wants to explore the relation between the returns of bank and the fundamental messages that include the monthly growth rate of loan, the monthly change rate of loan and the monthly growth rate of revenue in the different market conditions and capital adequacy ratios. Our sample consists of 10 bank listed or in OTC during May 2005 to June 2012. We consider some influencing factors included the BaselⅡ, inter-bank rate, financial crisis and European debt crisis, Economic Cooperation Framework Agreement(ECFA), and separate our empirical period into three sections: May 2005 to December 2006, January 2007 to December 2008 and January 2009 to June 2012. We choose the Pearson correlation coefficient and Grange causality as our research method. The empirical results are: Firstly, during the subprime crisis, there exists the significant closely relation between the stock returns of banks with high capital adequacy ratio and their loaning activities. Secondly, the return of the extensive government share banks and Group enterprise banks have interaction effect with their loaning activities after 2007. Thirdly, with the classification of the ratio of long and short investments, the return of banks is still closely with their loaning activities. Fourthly, based on the Grange causality test, the change of the capital adequacy ratio goes ahead of the monthly change rate of loan.