[[alternative]]International Study on Determinants of Bank Productivity Change－Impacts of Financial Reform, Global Financial Crisis, and Banking Competition

系統編號: PF10107-1447計畫編號: NSC101-2410-H343-005執行機構: 南華大學財務金融學系研究期間: 10108~10207[[abstract]]本研究構想擬針對 1992 年至2012 年期間超過80 國家之銀行樣本(如商業銀行、儲蓄銀 行、合作銀行、金融控股公司等)為研究對象，涵蓋不同發展類型國家(如發展中國家、 已開發國家及轉型國家等)，主要探討國家總體層級因素如金融改革、全球金融危機、以 及銀行競爭對銀行生產力變動之影響性。預期研究成果不僅可提供全球銀行研究的實證 完整性，而且也彌補現有文獻僅針對單一國家或特定歐美區域分析的侷限性。因此，本 研究擬結合Bootstraping Panel Data Model 以及Malmquist 生產力指數所形成兩階段半參 數法估計進行實證分析，主要探討金融改革、全球金融危機與銀行競爭之國家總體層級因 素如何對銀行生產力變動產生影響。本研究預期金融規範與促進私部門監管(private monitoring)的誘因措施對銀行生產力產生正面的影響。對銀行涉入證券、保險、不動產 及非金融企業所有權有關活動的限制也對銀行生產力產生正面的影響。關於新巴塞爾協 議(Basel II)中第1 和第2 支柱的規範及資本要求以及官方監管權力等方面，預期在一般 情況下研究期間下對生產力不具統計上的顯著影響。雖然在2007 年金融危機爆發後這 些政策規範卻獲得重要且較顯著的影響效果，然而當金融壓力達到高峰時，嚴格的資本 要求與監管標準確實對銀行生產力產生正向的影響。同時，全球金融危機期間對銀行生 產力變動預期產生負向的影響，特別是銀行控股公司與商業銀行的不利影響預期將超過 儲蓄與合作銀行。預期銀行在競爭程度愈高的國家，將有助生產力變動的提升。[[abstract]]Using global data on bank from more than 80 countries over the period of 1992 to 2012, including different bank types (commercial bank, saving bank, cooperative bank, and bank holding company) and degree of developing country (developing country, developed country, and transitional country), this research proposal attempts to empirically investigate determinants of bank productivity change with respect to country-specific impacts of financial reforms, global financial crisis, and banking competition in context of international evidence. Research result would be expected not only to provide more comprehensive evidence on global banking study, but also to fill the gap in current literature focusing on either single country or specific region. Therefore, I would like to apply two stage estimation to conduct empirical analysis by incorporating both of Malmquist index of non-parametric method and Bootstrapping Panel Data Model. The incentive of private monitoring is expected to have positive effect of bank productivity while bank involving activities of securities, insurance, real estate, and nonfinancial ownership business is more likely to enhance bank productivity change. Regarding Pillar 1 and 2 in Basel II for bank capital requirement and supervision standard, it is generally expected to be insignificantly related to productivity change though they seem to obtain the importance following the onset of the global financial crisis in 2007. Stringent capital and supervisory standards have positive productivity effects when financial pressures peak. However, stringent capital and supervisory standards are anticipated to post positive productivity effects as financial pressures peak. Meanwhile, the influence of global financial crisis on productivity changes would like to be significantly and statistically negative, in particular more harmful to commercial bank and bank holding company than saving bank and cooperative bank. Finally, banks in competitive country would enhance their productivity change

[[alternative]]The Impacts of Entry Mode on Foreign Bank's Efficiency and Profitability--- An International Study

計畫編號: NSC99-2410-H343-010執行機構: 南華大學財務金融學系研究期間: 9908~1000

Controlling for relevant variables: Energy consumption and economic growth nexus revisited in an EGARCH-M (Exponential GARCH-in-Mean) model

[[abstract]]This study empirically investigates the relationship between energy consumption and economic growth for five Asia-Pacific countries over the 1965–2010 period by controlling other relevant economic variables. We use annual data and employ a bi-variate exponential GARCH in mean model (Nelson, 1991) [47] in which we incorporate economic uncertainty, real oil price and real exchange rate in addition to energy consumption and real GDP (real gross domestic product). Our empirical evidence suggests that these additional variables had a significantly negative effect on energy consumption and/or economic growth. After controlling for the effect of these variables, we find that there is a two-way Granger causality for economic growth and energy consumption for Philippines, a one-way effect of economic growth on energy consumption for Singapore, and that the neutrality hypothesis holds for the rest of the countries. Our result suggests that (1) it is very important to control for relevant economic variables when investigating the nexus between economic growth and energy consumption, and (2) even with a high level of similarity among the countries studied, the nexus between energy consumption and economic growth can be different, supporting the notion that idiosyncratic characteristics can be important in making energy and economic growth policies for the developing countries

What determines bank productivity? International evidence on the impact of banking competition, bank regulation, and the global financial crisis

[[abstract]]This chapter examines the impact of banking competition, bank regulation, and the global financial crisis (GFC) of 2008–2009 on banks’ productivity changes. For the empirical analysis, I apply a semi-parametric two-step approach of Malmquist index estimates and bootstrap regression to a cross-country panel data of 8,451 commercial banks from 82 countries over the period 2004–2012. Empirical results show that (1) banking competition and capital regulation significantly enhance bank productivity, (2) a tighter bank supervision have a positive impact on bank productivity, and (3) bank productivity decreases during the GFC, but starts to increase as the GFC recovers. I also present consistent evidence that commercial banks in countries with better national governance have higher productivity growth before, during and after the GFC

[[alternative]]International Study of the Impacts of Banking Competition on Bank Systemic Risk: the Role of Corporate Governance, Internal Risk Management, National Governance, and Bank Regulation

系統編號: PF10406-2801計畫編號: MOST104-2410-H343-001執行機構: 南華大學財務金融學系研究期間: 10408~10507[[abstract]]銀行競爭對銀行風險的實質影響效果長久以來在過去研究文獻中極具爭論性且被持續廣泛討論，然而關於銀行相關性風險承擔的系統性風險上，過去的研究則缺乏認定是否銀行競爭可以減緩或提升個別銀行的系統性風險水準的全球銀行實證分析。本研究計畫擬針對在2000年至2014年間全球上市商業銀行，進行實證檢驗銀行競爭與系統性風險的關係，不同於過去多數研究僅考慮銀行個別風險指標，本研究則特別考量銀行系統性風險具共同相依性(Co-dependence)的特性以反映出銀行的脆弱性。再者，本研究計畫擬進一步探討公司治理品質與内部風險管理機制對系統風險的影響角色，同時也探討跨國間國家治理品質與金融監理對銀行系統性風險的影響，尤其是驗證銀行競爭透過國家治理與金融監理的管道如何交互影響銀行系統性風險。本計畫預期銀行在較弱金融監理與私人監督下具有較高的系統性風險水準；反之，較佳的國家品質與業務限制規範會有效降低銀行的系統性風險。此外，預期較低的銀行競爭可能會提升銀行的系統性風險，特別是在較弱的投資人保護、較穩健的金融安全網下、以及金融管理當局對銀行資產多角化設定較嚴格指導方針的國家[[abstract]]It has been debatable and wide discussed that the real effect of banking competition on bank risk documented in previous literature, However, regarding the systemic risk with respect to bank's correlated risk taking, whether banking competition could mitigate or enhance bank systemic risk from bank-level evidence is still little known for either academics or policymakers. This paper empirically investigate the relationship between banking competition and systemic risk based on bank-level measure with the co-dependence. Even though there are number of literature focused on the relationship between banking competition and the absolute level of risk in individual banks, this paper however examine the correlation in bank's risk taking behavior to measure systemic fragility. This paper also examine the impact of bank's corporate governance, internal risk management, national governance, and banking regulation on bank systemic risk. It is expected that bank systemic risk would be higher wit better quality of corporate governance and internal risk management, specifically in countries with weak supervision and private monitoring, better national governances, and restrictive competition. Besides, lower degree of banking competition has a greater opposite effect on systemic risk in countries with weak investor protections, better safety nets and where the authorities posted limited guidance for bank asset diversification

Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices

[[abstract]]This paper addresses the interaction between interest rates and the significant increases in both Taiwanese house and stock market prices seen in recent years. Changes in house prices impact banks’ nonperforming loans, whereas changes in interest rates directly influence the ability of individuals and businesses to pay loan interest, accentuating the co-movements between house and stock market prices. We investigate the nonlinear relations and volatility spillovers among house prices, interest rates and stock market prices using monthly data from January 1985 to March 2009 for Taiwan. We find that the Smooth Transition Vector Error Correction GARCH (STVEC-GARCH) model has the best forecasting ability based on goodness of fit tests while showing a nonlinear and co-integrated relation among the three variables. Specifically, house price leads stock market returns when the interest rate is led by either house price or stock market returns. The volatility of stock market returns has significant impacts on interest rates, implying that borrowers should be aware of stock market fluctuations and thus strengthen their risk management because of unexpected changes

[[alternative]]International Study on Bank Efficiency Post Cross-Border Mergers and Acquisitions (M&As): the Role of Corporate Governance, National Governance, and Bank Regulations

系統編號: PF10307-0505計畫編號: MOST103-2410-H343-001執行機構: 南華大學財務金融學系研究期間: 10308~1040

[[alternative]]Investigating Determinants of Technology Gap Ratio in Foreign and Domestic Banks---An International Study

計畫編號: NSC98-2410-H343-004執行機構: 南華大學財務金融學系研究期間: 9804~981

[[alternative]]Banking Competition, Efficiency, and Risk in Global Banking Industry

系統編號: PF10006-0770計畫編號: NSC100-2410-H343-005執行機構: 南華大學財務金融學系研究期間: 10008~10107[[abstract]]銀行競爭如何降低銀行風險呢？是否銀行競爭會透過效率管道進而改善銀行的風險？ 不同特性銀行面對競爭時是否具異質的反應呢？有別於過去銀行競爭的文獻，本計畫擬 採用新產業組織觀點來回答這些研究問題。使用涵蓋1992 至2010 年的全球銀行年資料 首先，並運用Boone (2008)理論架構估計樣本國家其銀行市場競爭程度，以探討跨國銀 行競爭程度差異對銀行風險的單向影響性，以及分析跨國銀行競爭程度差異對銀行效率 的單向影響性。在考量銀行競爭僅對銀行個別風險與效率存在單向影響性下，採用 「Granger 因果檢定法」(Granger Causality Approach)與「追蹤資料向量自我迴歸模型」 (Vector Autoregression for Panel Data Model, Panel VAR)探討銀行風險與效率之跨期動態 關係(Intertemporal Dynamic Relationships)，並拆解跨國銀行競爭程度變動對銀行風險及 效率的衝擊。換言之，在面對銀行高度競爭時，是否小型銀行的風險承擔較大銀行有較 明顯的反應；同時，是否低風險銀行因銀行競爭差異較高風險銀行其抑制風險承擔行為 為顯著。本計畫預期此Boone 指標確實可捕捉利潤自效率差的銀行重分配至效率高的對 手銀行之間的差異性，以及銀行競爭透過效率的管道可實質地降低銀行的風險承擔。在 面對銀行高度競爭時，預期小型銀行的風險承擔較大銀行有較明顯的反應，而且也預期 低風險銀行因銀行競爭差異較高風險銀行其抑制風險承擔行為為顯著。預期低成本與低 利潤效率的銀行有較高的風險承擔，且提高銀行資本會促使銀行成本效率的改善；再者， 預期較佳效率銀行最終成為較佳資本化的銀行，同時高資本水準傾向對效率水準具有正 向的效果。[[abstract]]How banking competition reduces bank risk? Whether banking competition improves bank risk through efficiency channel? Whether banks with different characteristics exhibit the heterogeneity in response to varied degree of banking competition? Different from previous studies, this proposal tends to use the insight from new industrial organization to explain those research questions. Using data on bank’s financial information including listed and unlisted banks in global banking sector, this proposal applies the theoretical framework by Boone (2008) to measure the degree of banking competition to investigate empirically this single effect on bank risk while competition increases efficiency. Based on this single effect, Granger Causality approach and Panel VAR (Vector Autoregression for Panel Data Model) is utilized to identify the inter-temporal dynamic relationship between bank risk and efficiency estimated by SFA while disentangling the effects of change in bank competition on bank risk and efficiency. It is expected that small bank facing higher competition would like to take excess risk compared with larger bank while the effect of keen competition impede the incentive of taking risk for lower risk relative to higher risk ones. It is also expected that bank with lower efficiency with regard to costs and revenues would cause bank to take higher risk as well as that increases in bank capital precede cost efficiency improvements. It would be found that more efficient banks eventually become better capitalized and that higher capital levels tend to have a positive effect on efficiency levels. The expected results have potentially important policy implications for bank prudential supervision and address the importance of attaining long-term efficiency gains to fulfill financial stability objectives

[[alternative]]台灣股市投資人情緒對營收宣告後效果之影響

[[abstract]]本研究發現在台灣股市中，前期市場處於投資人情緒高漲時，當個股從前期起連續兩個月公布負面的營收訊息時，該個股股價在收到訊息後的調整期的向下走勢較市場情緒低落時的向下走勢為強，但在最接近收到訊息時的事件期，兩種市場情緒下的股價差異卻不明顯。可見前期市場情緒高漲時，負向的營收訊息未在事件期立即充分的反應於股價，卻延遲於調整期才反應，因此股價有段時間高估。本研究用認知失調解釋此延遲現象，即當負面的新訊息（由負面的營收訊息代表之）與正面的舊信念（由高漲的前期市場情緒代表之）衝突時，決策者會延遲接受衝突的負面新訊息，導致市價延遲下調，因此下調發生於調整期，而非事件期。反之，當前期市場情緒低落，個股連續兩期公布正向營收訊息時，向上調整的延遲反應的現象較弱，可見低估現象較弱。此可由Miller（1977）的主張解釋之，即股價低估的情形較高估的情形為稀少。本研究更發現，上述股價延遲反應的現象持續約三到六個月，再次證實認知失調導致的延遲特質。本研究進一步發現，這種延遲反應無法由風險因素解釋之，且無視於散戶持股多寡，可見即使機構投資人亦無法免於此種認知失調行為。另方面，放空限制愈大的股票，此延遲現象愈強烈，符合現有諸多文獻的主張，市場異常現象的成因之一係無法徹底執行套利交易。 Using revenue announcement data from the Taiwanese stock market, we find that stocks experiencing two consecutive negative revenue surprises will exhibit lower negative returns in adjustment periods when higher investor sentiment exists in prior period. In contrast, the significant return difference does not occur in event periods, albeit which are more close (than adjustment periods) to the very moment when the market receives revenue news. The evidence implies an optimism-driven overpricing over event periods and a delayed downward correction in subsequent adjustment periods. We suggest the role of cognitive dissonance theory in explaining the delayed downward reaction. That is, cognitive dissonance arises when there exists conflicting signals between high investor sentiment and bad revenue surprises, resulting in delayed reaction to bad revenue surprises. The return difference is weaker for stocks with two consecutive positive revenue surprises in pessimism, implying weaker initial underpricing, and thereby corroborating the assertion by Miller (1977) that overpricing is more common than underpricing. The return difference extends for approximately three to six months, confirming the persistence of the delayed reaction predicted by cognitive dissonance theory. The differential return is insensitive to risk factors and various levels of concentrations of retail investors, yet it is stronger among stocks with more binding of short-sale constraints