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題名：銀行業淨利差之決定因素及多角化經營的影響:以亞洲銀行業為例
作者：謝明祥
作者(外文)：Hsieh, Ming-Hsiang
校院名稱：國立交通大學
系所名稱：財務金融研究所
指導教授：鍾惠民
林建榮
學位類別：博士
出版日期：2013
主題關鍵詞：銀行多角化；淨利差；內生轉換迴歸模型；非利息收入；Bank diversification；Interest margins；Endogenous switching model；Non-interest income
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本研究主要在於探討兩個銀行多角化經營的重要議題。第一個議題討論銀行淨利差的決定因素及多角化經營的影響，利用內生轉換迴歸模型 (Endogenous Switching Regression Endogenous Switching Regression Endogenous Switching Regression Endogenous Switching Regression Endogenous Switching Regression Endogenous Switching Regression Model Model) 將銀行樣本劃分為二個區間 ，分別為 高程度的多角化及低， 結果 發現位於 高程度多角化區間 的銀行，個別風險因素對淨利差的波動程度，會比位於低程 度的多角化區間 的銀行還要小，這隱含了透過分散所得來源，可以降低個別風險對銀行淨利差的衝擊，同時也發現Angbazo（1997）的結論，只有當銀行位於多角化程度低的區間才會成立。
第二個議題則是在分析銀行風險與多角化經營的影響，結果發現銀行的所得來源愈仰賴非傳統業務，會增加公司股價報酬的波動性(總風險及個別風險)及系統風險，同時也發現銀行多角化經營與個別風險、總風險存在非線性關係，這隱含了股票市場投資人認為，雖然愈多角化經營的銀行存在較高的個別風險及總風險，但僅有一定的程度。最後，研究也發現銀行愈仰賴非利息收入所得來源，有較高的潛在報酬，這個結果跟之前的研究一致。
This dissertation consists of two separate essays. The first essay is to discuss the determinants of interest margins and their effect on bank diversification. An endogenous switching regression model is employed for this study, categorizing the banks into regimes of high and low degrees of diversification, with our results indicating that net interest margins can be less sensitive to fluctuations in bank risk factors for functionally-diversified banks as compared to more specialized banks. In turn, this implies that by diversifying their income sources, these banks can reduce the shocks to net interest margins arising from bank-specific risk. Our results show that prior findings can hold when the banks are located in a regime with a low degree of diversification.
The second essay is to investigate the relationship between bank risk and product diversification in the changing structure of the Asian banking industry. Our study finds that an increasing reliance on non-traditional banking activities increases a bank’s return volatility (both total and idiosyncratic) and systematic risks. A closer investigation shows a non-linear relationship between diversification and idiosyncratic volatility (total volatility). This thereby implies that stock market judge more diversified banks to have a higher idiosyncratic risk and total risk, but only to a certain extent. Finally, our results show that banks that rely more on non-interest sources of income have a higher return potential, which is consistent with the findings of the prior studies.
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