不動產市場景氣變動時,透過貨幣傳導機制影響總體經濟,包含銀行放款、違約及不動產投資等,由於其牽涉範圍甚廣,各國金融市場危機常和不動產市場有因果關係,其中商業銀行擔任金融中介機構,不動產市場的相關交易,舉凡個人營造、買賣,或修繕,牽涉的金額龐大,大多需要不動產相關貸款及其他各種金融服務,目前購置不動產貸款占我國全體銀行授信總額約42%,使得不動產市場可能影響銀行經營績效與風險;多數研究結果顯示住宅不動產市場景氣變動與銀行貸款間有因果關係,顯示以放款為主要獲利來源的商業銀行,其股價報酬可能間接受到影響,目前較少文獻著墨於此,因此,本文欲探討銀行股價報酬與住宅不動產市場間之關係。 過往相關研究多以整體市場報酬、利率及住宅不動產市場報酬三項變數,所建立之三因子模型解釋銀行股價報酬,本文在檢驗三項變數後,由於利率對銀行股價報酬影響不顯著,因此,剔除利率變數,以二因子模型解釋銀行股價報酬,並以彷彿無相關迴歸模型(Seemingly Enrelated Regression Model)探討不同屬性銀行股價報酬受住宅不動產市場之影響。實證結果顯示整體市場報酬及住宅不動產市場報酬皆影響銀行股價報酬,亦影響金控公司股價報酬,但銀行承做購置住宅貸款的比率高低,未改變其受住宅不動產市場變動的程度,本文推測應該是建築貸款,或商用不動產貸款等其他不動產相關貸款,對銀行股價報酬造成影響,此外,資本適足率、政府介入營運政策的兩項因素,並未造成商業銀行股價報酬對住宅不動產市場變動的顯著影響差異。因此,政府制定不動產相關貸款的政策或法令時,除了規範商業銀行外,亦應將保險公司納入考量,以避免產生管理漏洞的情形,並注意國內建築貸款及商用不動產貸款的動態,降低金融機構過度曝險於不動產市場的可能。
The performance of commercial banks could be affected by the real estate market. The real estate market influences the financial market through the monetary transmission mechanism. Apparently, financial crisis always linked to real estate market, such as Asian Financial Crisis and Credit Crisis in 2007. The interest of the mortgage is one of the most important incomes for commercial banks. In 2011, real estate mortgages account for 42% of bank loan in Taiwan. Once the real estate market turns around, the profits of commercial banks may be impacted by loan defaults. The objects of this research are to investigate the impacts on commercial bank performance by residential property market, also the performance of different character commercial banks. This study hypothesize that the sensitivity of commercial bank stock returns to residential property market depends on its exposure to residential property loans. Two-factor model can be applied to evaluate the factors of bank performances. In addition, the performance of different character commercial banks are examined using Seeming Unrelated Regression Model. The conclusion is as follow: 1.The performance of commercial bank and financial holding companies are both affected by the whole market and residential property market. 2.Amongst different types of property loans, residential property loans are not major factor to the performance of commercial banks. Construction loans, commercial property loans, and other kind of property loans may contribute bigger portion of returns. 3.Policy and capital adequacy ratio may not be the factor to the credit of property loans which making commercial bank performance sensitive.