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系統識別號 U0026-2107201101173300
論文名稱(中文) 台灣銀行業衍生性金融商品與財務績效
論文名稱(英文) Derivative Use and Financial Performance: Evidence from the Taiwan Banking Industry
校院名稱 成功大學
系所名稱(中) 經營管理碩士學位學程(AMBA)
系所名稱(英) Advanced Master of Business Administration (AMBA)
學年度 99
學期 2
出版年 100
研究生(中文) 曾湘吟
研究生(英文) Shiang-Yin Tzeng
學號 RD6981215
學位類別 碩士
語文別 中文
論文頁數 57頁
口試委員 指導教授-許永明
口試委員-康信鴻
口試委員-張紹基
中文關鍵字 財務績效  衍生性金融商品  銀行 
英文關鍵字 financial performance  derivative  bank 
學科別分類
中文摘要 自1993年起,中央銀行及財政部核准銀行承做多種衍生性金融商品,此導致各銀行紛紛從事各項金融產品的研發,造成衍生性金融商品日益蓬勃發展。近年來我國銀行業使用衍生性金融商品的交易量也大幅躍升,根據中央銀行的統計資料顯示,截至2010年12月底。衍生性金融商品名目本金餘額已高達新臺幣51兆244億元。

鑑於國內衍生性金融商品市場蓬勃發展,交易愈趨頻繁。本研究旨在探討台灣銀行業衍生性金融商品的使用與財務績效之間的關係,以27家本國銀行為樣本,並以2003年至2010年為研究期間,利用各銀行財務、業務的季資料,以Probit和Tobit迴歸進行資料分析。研究結果顯示財務績效比較好的銀行,越有可能使用衍生性金融商品,且衍生性金融商品的使用量越高。本研究對主管機關、銀行投資者以及其他對衍生性金融商品市場發展有興趣者,應有相當參考價值。
英文摘要 Since 1993,Central Bank of the Republic of China and Ministry of Finance authorized banks to conduct derivatives transactions. As a result, many banks engaged in researching and developing different types of financial products, leading derivatives in the booming development. The volume of using derivatives in Taiwan banking industry is increasing dramatically in recent years. According to Central Bank of the Republic of China, the notional amounts remaining of derivatives is up to fifty one trillion and twenty four billion and four hundred million in 2011 .

Recently, derivatives markets are booming and the volume business transaction is getting higher. This research intends to probe into the relations between derivative use and financial performance in Taiwan banking industry. It includes 27 domestic banks from 2003 to 2010 and analyses the quarterly data of finance and business by Probit and Tobit regression. The results show the positive correlation between the financial performance in domestic banking industry and the derivative use. Our results indicate that banks use derivatives more intensively are generally larger and possess relatively stronger asset. For competent authorities, bank investors and whom is interested in the development of derivatives market, this is probably useful and full of referential value.
論文目次 目錄
摘要 I
Abstract II
致謝 III
目錄 V
表目錄 VII
圖目錄 VIII

第一章 緒論 1
第一節 研究背景 1
第二節 研究目的 7
第三節 研究架構 8

第二章 制度背景 9
第一節 國際制度 9
第二節 我國財務會計準則 11
第三節 我國衍生性金融商品法規概況 12

第三章 文獻探討 14

第四章 研究方法與設計 19
第一節 實證模型 19
第二節 資料來源與研究期間 22
第三節 變數定義 24

第五章 實證結果分析 34
第一節 敘述性統計分析 35
第二節 相關係數分析 38
第三節 Probit 迴歸實證結果分析 40
第四節 Tobit 迴歸實證結果分析 45

第六章 結論與建議 50
第一節 研究結論 50
第二節 研究限制與建議 52

參考文獻 54
參考文獻 一、中文文獻:
1.莫鳳圓(2005),「臺灣地區本國銀行使用衍生性金融商品與財務特徵之實證研究」,國立臺灣科技大學財務金融研究所碩士論文。
2. 李同龢、蘇信彰、陳海敏(2009),「使用衍生性金融商品是否影響銀行獲利之研究」,永豐金融季刊,第47期,頁65-88。
3.中央銀行金融業務檢查處,「各本國銀行衍生性金融商品餘額統計」,本國銀行營運績效季報。
4.行政院金融監督管理委員會2005 年1 月20 日訂定「銀行辦理信用衍生性金融商品自有資本與風險性資產之計算方法說明」。
5.行政院金融監督管理委員會2005 年3 月24 日訂定「銀行自有資本與風險性資產之計算方法說明-作業風險計算內容」。
6.行政院金融監督管理委員會2005 年7 月14 日訂定「銀行自有資本與風險性資產之計算方法說明-信用風險標準法與內部評等法」暫行版本。

二、英文文獻:
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19.Lee C. Adkins, D. A. C., & W. Gary Simpson (2007). Managerial incentives and the use of foreign-exchange derivatives by bank.,Journal of Financial Research, 30(3),399-413.
20.Ma, T. (1998),Additional evidence on the determinants of hedging: the case of Taiwan.,Journal of Financial Studies, 6,49-63.
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23.Riffe, S. M. (1997). The Valuation of Off-Balance-Sheet Financial Instrument Disclosures in the Banking Industry. In B. Schachter (ed.) Derivatives, Regulation and Banking: Advances in Finance, Investment and Banking Series. Amsterdam: North-Holland,93-121.
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三、網站:
公開資訊觀測站 http://mops.twse.com.tw/
行政院金融監督管理委員會 http://www.fscey.gov.tw
中央銀行全球資訊網 http://www.cbc.gov.tw
銀行局 http://www.banking.gov.tw
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