財務指標對銀行績效之非線性探討-以中國大陸銀行為例

The Non-linear Relationship between Bank Performance and Financial Indicators in China

馮月慧(Le-Hoa Huynh)

指導教授 ： 聶建中

共同指導教授 ： 林建甫

淡江大學/商學院/財務金融學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00474

摘要

本研究使用14家中國大陸銀行資料，期限從2006年至2010年，探討在不同的資本適足率下，中國大陸銀行財務指標與績效間之非線性關係。實證研究發現 當資本適足率在轉換值10.2172%及10.3383%時，銀行財務指標對ROE與ROA之影響存在結構性改變。流動性比率、效率比率、與總資產分別對 ROE與ROA有顯著的正向關係，且不受限於資本適足率之高低；而不良貸款率與凈利息收益率對ROE與ROA的影響會因銀行資本適足率的高低而有所不同。本研究可作為管理當局在規定銀行資本適足率規範之參考，尤其是中國大陸銀行。

關鍵字

縱橫平滑移轉回歸模型 ； 財務指標 ； 銀行績效

並列摘要

Using a sample set of fourteen listed commercial banks in China from 2006 to 2010, this study investigates the non-linear relationship between bank performance and financial indicators in different levels of capital adequacy ratio. Results showed that there is a structural change on the effect of financial indicators on return on assets and return on equity when capital adequacy is equal to the transition value 10.2172% and 10.3383%, respectively. The empirical results also indicate that the impact of liquidity ratios, efficiency ratios and total assets on return on equity and return on assets are positively correlated regardless of the capital adequacy ratio level; while the impact of non-performing loans and net interest margins on return on assets and return on equity depends on the level of the bank’s capital adequacy ratio. The research can be considered as a reference point for regulators seeking to identify the optimal level of capital adequacy ratio for banks, especially for the Chinese banking sector.

並列關鍵字

Panel smooth transition regression model ； financial indicators ； bank performance

參考文獻

沈中華，2002年，「金控公司的銀行與獨立銀行CAMEL比較1997-1998」，臺灣金融財務季刊，第三輯第二期，第73至94頁

References in English

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Anbar, A. and Alper, D., (2011), “Bank Specific and Macroeconomic Determinants of Commercial Bank Profitability: Empirical Evidence from Turkey,” Business and Economics Research Journal, 2, 139-152.