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| 研究生： |
吳健瑋 Wum, Windows |
|---|---|
| 論文名稱： |
股權結構、投資人保護之於大型金融機構的信用風險承擔 Ownership Structure, Investor Protection in the Credit Risk Taking of Large Complex Financial Institutions |
| 指導教授： |
江彌修
Chiang, Derek |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2014 |
| 畢業學年度： | 102 |
| 語文別： | 中文 |
| 論文頁數： | 49 |
| 中文關鍵詞： | 股權結構 、投資人保護 、信用風險 、大型金融機構 |
| 外文關鍵詞： | Ownership structure, Investor protection, Financial institution, Credit risk |
| 相關次數： | 點閱：77 下載：0 |
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本文針對金融海嘯時期,信用風險大幅擴張的階段,藉由大股東持股比例、 銀行持股比例、政府持股比例分析其對於各家大型金融機構的信用風險之影響, 本文主要採用 Bloomberg 資料庫以及 Bankscope 資料庫,期間涵蓋 2003 年至 2013 年全球資本排名前 60 的大型金融機構的季資料,並透過縱橫資料的技術來分析 股權結構與信用風險之間的相關性。
結論顯示在危機發生的期間時,政府對於大型金融機構的信用風險存在顯著 的抑制效果,本文接著依照過去文獻對投資人的股權保護程度加以分類後,發現 與過去分析總風險和股權結構之間的關係之結果並不相同,以往的結果顯示,保 護程度比較差的國家中,政府對於公司的風險以及公司決策會存在比較大的影響 力,並會進而降低公司的風險,然而本文得到的結果是投資人股權保護程度比較 強的區域裡面,政府對於降低大型金融機構的信用風險會有著比較顯著的影響 性。
In this thesis, we investigate the level of credit risk taking concerning the ownership structure in large complex financial institutions during the sub-prime crisis period. We use quarterly data of the top 60 large financial institutions based on Bloomberg and Bankscope, covering the interval from 2003 to 2013.
From our results, we show that there is negative relationship between the level of risk and government ownership on banks. Furthermore, if we categorize the banks regarding its investor protection, our findings support that government ownership on banks has a significant effect in countries where it provides stronger protection to investors during financial crisis. Different from previous works, which states that in country with less investor protection, government ownership on banks has more influence power, here we arrive at an opposite result. We conclude that increasing government ownership can significantly reduce the level of credit risk on banks.
壹、 前言....................................................................................................................1 貳、 文獻回顧............................................................................................................4 參、 研究分析............................................................................................................9
一. 1. 2. 3. 二.
一. 二. 三. 1. 2. 3. 4.
實證資料.........................................................................................................10 風險衡量指標 ...................................................................................................11 銀行因子衡量指標 ...........................................................................................12 股東持股資料 ...................................................................................................12
研究方法.........................................................................................................13 肆、 實證結果..........................................................................................................16
敘述統計.........................................................................................................17 危機期間與危機後期間.................................................................................20 投資人股權保護程度.....................................................................................29
股權保護程度分類 ...........................................................................................29 資料描述 ...........................................................................................................31 各類股東持股比例走勢 ...................................................................................34 迴歸結果 ...........................................................................................................37
伍、 結論..................................................................................................................45
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