政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31246
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113451/144438 (79%)
造訪人次 : 51246077      線上人數 : 897
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31246


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/31246


    題名: 金融業區域性併購的影響因素及波動特性
    作者: 林美榕
    貢獻者: 沈中華
    林美榕
    關鍵詞: 併購
    金融風暴
    共同波動
    馬可夫轉換
    M&A
    Crisis
    co-movement
    Markov Switching
    日期: 2007
    上傳時間: 2009-09-14 09:36:06 (UTC+8)
    摘要: 在全球企業自由化及國際化的過程，金融機構的併購行為也變成大眾關注的議題，本論文第一部份，以亞洲的金融業為樣本，並且考量金融風暴對金融業併購的影響，實證結果發現，本文的5個併購假說在大部份的情況下，都被支持，而且金融風暴發生，的確可能改變跨國購併決策和影響因素之間的關係。其中，訊息成本假說中的語言及宗教二個代理變數，在金融風暴之後，他們對跨國併購決策都有較大且較顯著的影響力。第二部份，我們先探討OECD國家併購行為是否存在共同波動特性，實證結果支持 OECD 國家的購併活動具有共同波動的特性；此外，由狀態存續機率估計值發現樣本國停留在特定購併狀態的持續期間相當長，表示只要這些國家一起處於購併高峰期，則此共同購併高峰期會持續一段期間。相反的，若沒有發生共同購併高峰期，則在下一個時點出現共同購併高峰期的可能性也不高。從另一個角度解釋，亦即 OECD 國家購併潮的共同波動行為具有「長幅擺盪」(long swing) 的特質。最後，我們進一步考量歐盟金融業的併購活動和國家經濟成長率及股價報酬率二個要素的關係。實證結果發現在併購高峰期之下，不論歐盟金融業是處於併購交易的主併方或是被併方，股價報酬率都對併購活動皆具有正向影響；然而，國家的經濟成長率則會隨著歐盟金融業所處的併購主體而改變。此外，歐盟金融業的併購的共同波浪潮行為也具有「長幅擺盪」的特質。
    參考文獻: 沈中華 (1993)，「台灣遠期美元外匯市場效率性之再檢定—兩狀態Markov 模型的應用」， 經濟論文， 第 21 卷第 1 期， 87－115。
    沈中華 (1998) ，「金融風暴後匯率制度與貨幣政策中間目標的抉擇」，金融研訓季刊，7月，62－68。
    沈中華 (2004)，啟動二次金融改革，行政院經濟建設委員會出版。
    沈中華 (2005) ，「銀行評比: 推估品質一致的盈餘」，金融風險管理季刊，第1卷第3期，89－105。
    沈中華 (2007)，金融市場—全球觀點，新陸書局。
    Ahearne, A., Fernald, J., Loungani, P., and Schindler, J. (2003), China and emerging Asia：Comrades or competitors? International finance discussion Paper, No. 789.
    Altunbas, Y., and Marques D. (2004), Mergers and acquisitions and bank performance in Europe: the role of strategic similarities, Working Paper.
    Artis, M.J. and Zhang W. (1999), Further evidence on the international business cycle and the ERM: is there a European business cycle? Oxford Economic Papers 51(1), 120－132.
    Asea, P. K. and Blomberg B. (1998), Lending cycles, Journal of Econometrics, 83, 89－128.
    Audrestsch, D. B. (1989), The determinants of conglomerate mergers. American Economist, 33, 52－60.
    Barealey, R. A. and Kaplanis E. C. (1996), The determination of foreign banking location. Journal of International Money and Finance, 15, 577－597.
    Barth, J., Caprio G., and Levine R. (2000). Bank regulation and supervision: what works and what doesn`t. World Bank, Washington DC.
    Berger, A. N., Rosen R. J. and Udell G. F. (2001), The effect of market size structure on competition: the case of small business lending, FRB Chicago Working Paper.
    Betancourt, M. C., Pablo E. and Pileggi V. (2006), The determinants of cross－border M&A transactions in Latin America. Working paper
    Brealey, R. and Kaplanis E. (1996), The determination of foreign banking location. Journal of Internatioal Money and Finance, 15(4), 577－597.
    Buch, C. M. and Delong G. L. (2004), Cross-border bank mergers: what lures the rare animal? Journal of Banking and Finance, 28, 2077－2102.
    Campa, Jose M. and Hernando I. (2006), The reaction by industry insiders to M&As in the European financial industry, IESE Research Papers D/689, IESE Business School.
    Chauvet M. (1998), An econometric characterizsation of business cycle dynamics with factor structure and regime switching, International Economic Review,39, 969－996
    Chen, S. W. and Shen C. H. (2005), When wall street conflicts with main street-the divergent movements of Taiwan`s leading indicators. International Journal of Forecasting, 22, 317－339.
    Chen , S. W. and Shen C. H. (2006a), Can the identification puzzle of Taiwan`s turning points after 1990 be solved?, Economic Modelling, 23(1), 174－195.
    Chen , S. W. and Shen C. H. (2006b), When wall street conflicts with main street－The divergent movements of Taiwan`s leading indicators. International Journal of Forecasting, 22, 317—339.
    Chen , S. W. and Shen C. H. (2006c), Is there a duration dependence in Taiwan`s business cycles?, International Economic Journal. 20(1), 109－127.
    Chen , S. W. and Shen C. H. (2006d), Evidence of the duration－dependence from the stock markets in the pacific rim economies, Applied Economics.
    Chen, S. W. (2007a), Measuring business cycle turning points in Japan with the Markov switching panel model, Mathematics and Computers in Simulation, 76(4), 236－270.
    Chen, S. W. (2007b), Using regional cycles to measure national business cycles in the US with the Markov switching panel model, Economics Bulletin, 3(46), 1－12.
    Chen, S. W. (2008), Identifying U.S. turning points revisited: the panel model with the regime switching approach, Applied Economics Letters, forthcoming.
    Choi, S.R., Park, D. and Tschoegl, A.E. (2002), Banks and the world`s major banking centers, Working Paper.
    Clarke, G., R. Cull, M. Peria and Sanchez S. (2001), Foreign bank entry: experience, implications for developing countries, and agenda for future research. World Bank Policy Research Paper, 2698.
    Dempster, A. P., Laird, N.M. and Rubin, D. B. (1977), Maximum likelihood from incomplete data via the EM algorithm, Journal of The Royal Statistical Society Series, 28, 5－18.
    Dunning, J. (1998), Location and the multinational enterprise: A neglected factor? Journal of International Business Studies, 19: 45－66.
    Durland, J. M. and McCurdy, T. H. (1994), Duration-dependent transitions in a Markov model of U.S. GNP growth, Journal of Business and Economic Statistics, 12, 279－288
    Engel, C. and Hamilton, J. D. (1990), Long swings in the dollar: Are they in the data and do markets know it?, American Economic Review, 80, 687－713
    Fecher, F. and Pestieau P., (1993), Efficiency and competition in O.E.C.D. financial services, in (Fried, Harold O., C. A. Knox Lovell and Shelton S. Schmidt, ed.), The measurement of productive efficiency: Techniques and applications, Oxford University Press, New York, pp 374－385.
    Filardo, A. J. (1994), Business-Cycle phases and their transitional dynamics, Journal of Business and Economic Statistics, 12, 299－308.
    Focarelli, D. and Pozzolo A. F. (2000), The determinants of cross-border bank shareholdings: an analysis with bank-level data from OECD countries, Bank of Italy, Working Paper, 9/03.
    Focarelli, D. and Pozzolo A. F. (2001), The patterns of cross-boarder bank mergers and shareholdings in OECD countries. Journal of Banking and Finance, 25, 2305－2337.
    Focarelli, D. and Pozzolo A. F. (2003), Where do banks expand abroad? An empirical analysis. Working Paper.
    Frey, R. and Hussinger K. (2006), Technological Reorganization and Entrance into New Markets Through the Fifth Merger Wave in Europe. Working Paper.
    Galindo, A., Micco A., and Sierra C. (2002), Better the devil that you know : Evidence on entry costs faced by foreign banks, IADV working paper 477.
    Garcia, R. (1998), Asymptotic null distribution of the likelihood ratio test in Markov- Switching model, International Economic Review, 39, 763－88.
    Ghysels, E. (1994), On the periodic structure of the business cycle, Journal of Business and Economic Statistics, 12, 289－98.
    Giovanni, J. (2002), What drives capital flows? The case of cross-border M&A activity and financial deepening. eScholarship Repository, University of California.
    Golbe, D. and White, L. (1993), Catch a wave: The time series behavior of mergers, Review of Economics and Statistics, 75, 493－499.
    Gort, M. (1969), An economic disturbance theory of mergers, Quarterly Journal of Economics, LXXXIII, 624－42.
    Hamilton, J. D. (1989), A new approach to the economic Aanalysis of nonstationary time series and the business cycle, Econometrica, 57, 357–384.
    Hamilton, J. D. (1990), Analysis of time series subject to changes in regime, Journal of Econometrics, 45, 39－70.
    Hansen, B. E. (1992), The likelihood ratio test under nonstandard conditions：Testing the Markov switching model of GNP, Journal of Applied Econometrics, 7, S61－S82.
    Hansen, B. E. (1996), Erratum：The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP, Journal of Applied Econometrics, 11, 195－198
    Kaminski, G. and Reinhard C. M. (2001), Bank lending and contagion: Evidence from the Asian crisis. In T.Ito and A. Krueger, eds. Regional and Global Capital Flows: Macroeconomic Causes and Consequences. Chicago：University of Chicago Press for the NBER.
    Kaufmann, D., Kraay A. and Zoido-Lobatón P. (2002), Governance matters II: Updated governance indicators for 2000-01. Working Paper No. 2772, February. World Bank Policy Research Department. Washington, DC.
    Kim, W., and Wei S. J. (1999), Foreign portfolio investors before and during a crisis, NBER working paper 6968.
    La Porta, R., F. Lopez-de-Silanes, A.Shleifer, and Vishny R. (1997), Legal determinants of external finance. Journal of Finance, 52, 1131－1150.
    La Porta, R., Lopez-de-Silanes F., Shleifer A., and Vishny R. (1998), Law and finance. Journal of Political Economy, 106, 1113－1155.
    Lahiri, K. and Wang, J. G. (1994), Predicting cyclical turning points with leading index in a markov switching model, Journal of Forecasting, 13, 24－63.
    Lardy, N. (2001), Foreign financial firms in Asia, in Litan, R., Masson, P. and Pomerleano, M. (eds.), Open Doors: Foreign Participation in Financial Systems in Developed Countries, Brookings Institution Press.
    Layton, A. P. (1998), A further test of the influence of leading indicators on the probability of US business cycle phase shifts, International Journal of Forecasting, 14, 63－70.
    Martin, X., Swaminathan, A. and Mitchell, W. (1998), Organizational evolution in the interorganizational environment：incentives and constraints on international expansion strategy. Adm. Sci. Q. 43, 566－601.
    Meese, R. A. and Rogoff, K. (1983), Empirical exchange rate models of the seventies: Do they fit out of sample?, Journal of International Economics, 14, 3－24.
    Megginson, W. (2005), The economics of bank privatization, Journal of Banking and Finance, 29, 1931－1980.
    Nakamura (2004), To merge and acquire when the times are good? The influence of macro factors on the Japanese M&A pattern, Working paper No 197.
    Nelson, R. R. (1959), The economics of invention: A survey of the literature, Journal of Business, 32, 101－27.
    Nieh, C. C. (2004), On the dynamic relationships with structural breaks among US’s M&A and macroeconomic fundamentals. Management Review, 23, 91－116.
    Pelagatti, M. (2001), Gibbs sampling for a duration dependent Ｍarkov switching model with an application to the U.S. business cycle, Working Paper.
    Perron, P. (1989), The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57, 1361－1401.
    Portes, R. and Rey H. (2001), The determinants of cross-border equity flows, NBER.
    Post, A. M. (1994), Anatomy of a merger, London: Prentice Hall.
    Resende, M. (1999), Wave behavior of mergers and acquisitions in the U.K.: A sectoral study, Oxford Bulletin of Economics and Statistics, 61, 85－94.
    Rossi, S. and Volpin P. F. (2004), Cross-country determinants of mergers and acquisitions. Journal of Financial Economics, 74, 277－304.
    Sabi, M. (1988), An application of the theory of foreign direct investment to multinational banking in LDCs, Journal of International Business Studies, 433－447.
    Scherer, F. M. and Ross, D. (1990), Industrial Market Structure and Economic Performance, 3rd edition, Boston: Houghton Mifflin,153－159
    Shen, C. H. and Chen S. W. (2004), Long swing in Appreciation and Short Swing in Depreciation and Does the Market not Know it—the Case of Taiwan. International Economic Journal, 18(2), 195－213.
    Shen, C. H., Chen S. W. and Lin M. R. (2007), Common wave behavior for mergers and acquisitions in OECD countries？A unique analysis using new Markov Switching panel model approach. Working paper.
    Shen, C. H. and Chih H. L. (2005), Investor protection, prospect theory, and earnings management: An international comparison of the banking industry. Journal of Banking and Finance, 29, 2675－2697.
    Shen, C. H. and Chang Y. H. (2005), Do regulations affect banking performance? government governance may matter. Contemporary Economic Policy, 24 (1), 92－105.
    Shen, C. H. and Chou H. H. (2008), Foreign banks in Asian markets: The determinants of location choice. working paper.
    Shen, C. H. and Lin M. R. (2007), The determinants of cross-border merger and acquisition activity in the banking sector in Asia –Did the Asian financial crisis change them?, NBER－EASE, 18.
    Shen, C. H. and Lee C. C. (2005), Same financial development yet different economic growth—and why? Journal of Money, Credit, and Banking, 38, 1907—1944
    Shih, S. H. M. (2003), An investigation into the use of mergers as a solution for the Asian banking sector crisis. The Quarterly Review of Economics and Finance, 43, 31－49.
    Shimizu, K., Hitt, M., Vaidyanath, D., Pisano, V. (2004), Theoretical foundations of cross-border mergers and acquisitions: a review of current research and recommendations for the future, Journal of International Management, 10, 307－353.
    Shleifer A. and Vishny R. (2003), Stock market driven acquisitions, Journal of Financial Economics, 70(3), 295－311.
    Shughart, W. F. and Tollison, R. D. (1984), The random character of mergers, RAND Journal of Economics, 15, 500－509.
    Stock, J. and Watson, M. (1989), New indexes of coincident and leading economic indicators, NBER Macroeconomic Annual, 351－394.
    Stock, J. and Watson, M. (1991), A probability model of the coincident economic indicators in K. Lahiri and Moore, eds., Leading Economic Indicators, Cambridge University Press.
    Tinbergen, J. (1962), Shaping the world economy－Suggestions for an international economic policy. The Twentieth Century Fund.
    Town, R. J. (1992), Merger waves and the structure of merger and acquisition time－series, Journal of Applied Econometrics, 7, 83－100.
    Vasconcellos, G. M. and Kish R. J. (1998), Cross-border mergers and acquisitions: the European-US experience. Journal of Multinational Financial Management, 8, 431－450.
    Wei, S. J. (2000), Corruption in economic transition and development greaser or sand? Working paper.
    Wei, S. J. and Wu, Y. (2001), Negative alchemy? Corruption, composition of capital flows, and currency crises, NBER Working Paper No. 8187.
    Williams, B. (2002), The defensive expansion approach to multinational banking : Evidence to date. Financial Markets Institutions & Instruments, 11(2), 127－203.
    Yagil, J. (1996), Merger and macro－economic factors, Review of Financial Economics, 5(2), 181－190.
    描述: 博士
    國立政治大學
    金融研究所
    92352507
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923525071
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML2287檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋