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    题名: 金控公司多角化程度對經營風險之影響
    The Impact of Diversification on Risk-taking in The Financial Holding Companies
    作者: 簡湘庭
    贡献者: 陳彩稚
    簡湘庭
    关键词: 金融控股公司
    經營風險
    多角化
    子公司組成型態
    日期: 2012
    上传时间: 2013-07-22 11:18:51 (UTC+8)
    摘要: 本研究探討我國金控公司多角化程度與經營風險之關聯性。以Herfindahl 指標衡量金控相關多角化之程度，研究當金控公司多角化程度愈高，是否顯著降低公司總風險、系統性風險、特定風險、破產風險與收入波動度。本研究以我國十四家金控公司為樣本對象，並取2003年Q1至2012年Q4之季資料，透過迴歸分析進行實證研究。主要研究結果如下：
    (一) 風險並非｢隨機漫步｣，具有持續性之影響。當公司規模愈大、槓桿程度愈低且流動性佳之金控，較能降低特定風險和破產風險。而公司規模小、繼續經營價值高之金控公司，有助於降低系統性風險。此外，繼續經營價值高、槓桿程度低之金控公司，則能降低總風險和穩定收入波動度。
    (二) 實證顯示，我國金控公司多角化程度愈高，愈能有效降低系統性風險。然特定風險將隨多角化程度提高而上升。針對於此，本研究推測多角化效益存在時間上之落差，且須仰賴經理人決策與風險管理之能力。此外，金控旗下納入銀行子公司，將顯著提升破產風險。
    (三) 金融海嘯前，金控公司多角化程度愈高，收入波動度愈大。然金融海嘯發生後，多角化程度高之金控公司，則將提升總風險和特定風險。
    (四) 金融海嘯後，大型金控公司具有降低特定風險、破產風險和收入波動度，及顯著提升系統性風險之抵換效果。此外，資產成長率愈快反而顯著降低經營風險，顯示金融海嘯後，我國金控公司所增加之資產品質較佳。
    (五) 金融海嘯前，子公司組合型態不影響經營風險。然金融海嘯後，以銀行為經營主體之金控公司跨業經營壽險或產險業，有助於降低系統性風險。
    This study investigates the relationship between diversification and risk-taking in the FHCs by using the Herfindahl index to calculate the degree of diversification. Furthermore, there are 5 risk variables to be used in the research including total risk, systematic risk, specific risk, z-score, and return volatility. The followings are the empirical results when using the method of panel data analysis to examine the 14 FHCs in Taiwan during 2003Q1-2012Q4.
    1. Risk in the FHCs is not 「random walk」. Besides, the larger size, lower leverage, and better liquidity FHCs can reduce specific risk and bankruptcy risk while the smaller size and higher charter value FHCs can reduce systematic risk. Moreover, return volatility and total risk can be reduced in the higher charter value and lower leverage FHCs.
    2. It shows that the more diversified FHCs, the lower systematic risk and higher specific risk FHCs carry. It may means that diversification benefit needs time to be realized, and it heavily depends on the managers’ abilities of decision-making and risk-management.
    3. The result also shows that before the financial crisis in 2008, the more diversified, the larger return volatility FHCs carry; while the diversification will increase the
    specific risk and total risk in the FHCs after the financial crisis.
    4. After the financial crisis in 2008, the larger size FHCs can reduce systematic risk, bankruptcy risk, and return volatility but increase systematic risk. Besides, the faster asset growth FHCs have lower operating risk, meaning that the quality of assets FHCs gain is better than before.
    5. It shows that the subsidiary types have no impact on risk-taking in the FHCs before financial crisis in 2008. However, after the financial crisis, banks merger with life insurance and property can help to reduce its systematic risk.
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    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    100358020
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1003580202
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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