臺灣非官股金控市場評價因素之追蹤資料分析

自《金融控股公司法》通過前，金融業舉凡銀行、證券及保險業皆不得兼營，且各自有其事業之主管機關、面對不同的法規，而該法於2001 年通過後，截至2018年已有16 家金控公司成立，金融業佔臺灣GDP 百分比始終未低於6%，更是臺灣ETF0050 佔比僅次於半導體業的第二大產業，可見金融業於臺灣扮演著舉足輕重的角色，本研究將進一步說明選取非官股金控的流程，而討論重點為同屬非官股金控公司其市場評價變動會取決於那些變數所影響。本文採用2006-2017 年主要以資訊公開觀測站、台灣證券交易所資料進行實證研究，以最小平方法、追蹤資料分析(panel data)，進一步檢定出本研究的研究資料以固定效果模型為佳。實證結果如下： (1) 就非系統性因素而言，同屬非官股金控公司的股價與資產規模、負債皆無顯著影響，與淨值、營業收入、業外收入皆呈正向顯著關係。 (2) 就系統性因素而言，同屬非官股金控公司的股價與台灣金融類股指數呈正向顯著關係，與美國道瓊工業指數呈負向顯著關係。

關鍵字

非官股金控；市場評價；系統性因素；非系統性因素；追蹤資料分析；固定效果模型

並列摘要

Before the Financial Holding Company Act was passed, financial institutions including commercial banks, security firms and insurance companies are not allowed to engage in the same business, and regulated by separate law. When the act is passed in 2001, there have been sixteen financial holding companies being established until now. The ratio of financial sector to GDP has never been under 6% in Taiwan, and financial companies,only second to semi-conductor industry, compose a second large portion of ETF0050. This study sheds light on the procedure of non-public holding selection, particularly discusses which variable would affect the market valuation of non-public financial holding companies. The empirical findings are based on 2006-2017 panel data from Taiwan Stock Exchange (TSE) using OLS and fixed effect model, and further discovers fixed effect model is more appropriate. The empirical results are listed below: (1) In terms of non-systematic factors, the stock price of non-public financial holding companies is not significantly correlated with asset, liability, but significantly positively correlated with net worth, operating revenue and non-operating revenue. (2) In terms of systematic factors, the stock price of non-public financial holding companies is significantly positively correlated with Finance Index, but negatively correlated with Dow Jones Industrial Average(DJIA).