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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/116769


    Title: 金融與非金融銀行與證券業效率分析—關聯結構法
    Cost efficiency of financial holding banks—copula method
    Authors: 賴韋綸
    Lai, Wei-Lun
    Contributors: 黃台心
    T.H. Chang
    賴韋綸
    Lai, Wei-Lun
    Keywords: 經營綜效
    技術效率
    共同邊界函數
    成本函數
    金融控股銀行
    關聯結構法
    計量方法
    Synergy
    Metafrontier
    Technical efficiency
    Copula method
    Financial holding company
    Date: 2014
    Issue Date: 2018-04-09 15:41:15 (UTC+8)
    Abstract: 綜觀國內外探討金融產業經營效率之相關文獻，多數針對銀行、證券、保險中其一產業進行獨立實證研究，較無法將金融控股之綜效表現加以捕捉並體現在估計效率值中，也因此在本文中，將同時涵蓋銀行業務與證券業務，並以納入金控體制與否加以區分為不同子集合進行探討，透過數理方法聯結金控體制下銀行與證券業務部門兩者間因多角化經營所產生之綜效，以修正傳統方法上表現綜效法上之不足，使估計效率值具有更高的參考依據。
    此外，研究產業效率所參考之研究方法，在相關文獻中無參數法乃以資料包絡分析法(Data envelopement analysis, DEA)為多數研究者所採用；參數法則以隨機邊界模型(stochastic frontier approach, SFA)為主要研究方法，進一步在不同群組技術效率之比較中，Battese et al. (2004) 與 O’Donnell et al. (2008)提出為多數研究者所接受之共同邊界模型(Metafrontier)，而Huang et al. (2013)所提出之修正模型使共同邊界模型在效率研究上更加完備，本文則希望以此修正模型作為主要研究模型，並同時引用Battese et al. (2004)傳統模型加以比較：(1)考慮綜效前後 (2)傳統模型與修正模型間效率值的差異，期待為後續相關研究者在方法論上提供參考依據。


    關鍵字：經營效率、技術效率、共同邊界、計量方法、關聯結構法、金融控股銀行
    This study aims to discuss the evidence suggested that synergy improve the operating performance of Taiwan’s commerical banks and securites firms. Furthermore, efficiency comparisons amongst two basis metafrontier models, Haung et al.(2013) and Battese et al.(2004), and copula-adjusted metafrontier. The empirical results suggest that copula-adjusted metafrontier could significantly improve the efficiency of financial holding companies based on the data of sample period 2001-2012. On the framework of copula-adjusted metafrontier, the evidence also imply that financial holging companysubsidiary technical efficiency is better than non-financial holding company compared to the framework of Haung et al.(2013) and Battese et al.(2004), the conclusion emphasis that synergy is perhaps one crucial key factor influenced the efficiency estimation. Otherwise, this study appears to support the copula-adjusted metafrontier model is also well-adjusted compared to programming techniques because not only it enables the statistical inferences to be drawn, but also provides more efficiency estimations.
    Reference: 中文部分
    1. 王國樑、翁志強、張美玲(1998)，臺灣綜合證券商技術效率探討，證券市場發展季刊，10(2)，93-114。
    2. 游舒淳(2013)，臺灣銀行業與證券業效率分析-Metafrontier之運作，淡江大學財務金融學系碩士論文
    3. 徐中琦、盧慧蓉(2009)，我國金控券商與非金控券商經營效率比較分析—DEA與Malmquist生產力指數之應用，臺灣銀行季刊，第六十卷第四期，pp.46-64。
    4. 黃台心、張寶光、邱郁芳(2009)，應用共同成本函數探討東亞六國銀行業之生產效率，經濟論文，37(1)，61-100。
    5. 楊智超(2001)，金控券商與非金控券商經營效率之研究，朝陽科技大學企業管理學系碩士論文。
    6. 賴美慧(2006)，金控與非金控銀行經營效率研究，朝陽科技大學財務金融學系碩士論文。
    7. 謝燧祺(2004)，臺灣銀行業在金控與非金控架構下經營績效之比較研究，世新大學管理學院經濟學系碩士論文。
    8. 林良楓(2009)，金控合併銀行標的的選擇與經營效率之關聯，國立政治大學會計學系碩士論文。
    9. 葉佳玲、盧永祥(2006)，臺灣綜合證券商規模經濟與範疇經濟之分析，財金論文叢文，5，25-41。
    10. 朱炫璉、吳志銘(2009)，臺灣金融控股組織對銀行效率之影響，臺灣管理學刊，頁97-114。
    11. 劉松瑜、謝燧棋、溫育芳(2006)，臺灣銀行業在金控與非金控架構下之效率分析，臺灣金融財務季刊，第七輯，第三期，第127-174頁。
    12. 顏晃平、張靜文(2010)，本國銀行業成本效率之研究—共同邊界函數應用經濟研究，47：1(2011)，147-181。
    英文部分
    1. Aigner, D. J.,A. K. Lovell, and P. Schmidt(1977), “Formulation and estimation of stochastic frontier production function models,” Journal of Econometrics, 6, 21-37.
    2. Battese, G. E. and D.S.P Rao(2002), “Technology gap, efficiency and a stochastic metafrontier function,” International Journal of Business and Economics, 1, 87-93.
    3. Battese, G.E., D.S. Prasada Rao, and C.J. O’Donnell(2004), ”A metafrontier production function for estimation of technical efficiencies and technology gaps for firms operating under different technologies,” Journal of Productivity Analysis, 21, 91-103.
    4. Hayami, Y.(1969), “Sources of agricultural productivity gap among selected countries,” American Journal of Agricultural Economics, 51, 564-575.
    5. Hayami, Y. and V. W. Ruttan(1970), ”Agricultural productivity differences among countries,” American Economic Review, 60, 895-911.
    6. Huang, C. J., T. H. Huang, and N.H. Liu(2012), “A New Approach to Estimating the Metafrontier Production Function Based on a Stochastic Frontier Framework, manuscrip.”
    7. Lai, Hung-pin and Cliff J. Huang, (2012), “Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions.” Journal of Productivity Analysis.
    8. T.H. Huang, N.H. Liu, S.C. Kumbhakar,”Joint Estimation of the Lerner Index and Cost Efficiency Using Cupula Methods”
    9. O’Donnell, C.J., D.S.P. Rao., G.E. Battese(2008), ”Metafrontier frameworks for the study of firm-level efficiencies and technology ratios,” Empirical Economics, 34, 231-255.
    10. Sherman, H.D. and Gold, H.(1985), ”Bank branch operating efficiency: Evaluation with data envelopment analysis,” Journal of Banking and Finance, 9(2), 297-315.
    11. Sharma, K.R. and P.S. Leung(2000), “Technical efficiency of crap pond culture in South Asia: An application of stochastic Meta-Production frontier model,” Aquaculture Economics and Management, 4, 169-189.
    12. Wang, K.I., Y.I. Tseng and C-C. Weng(2003), “A study of production efficiency of integrated securities firms in Taiwan”, Applied Financial Economics, 13(3), 159-167.
    13. Wang, W.K., W.M. Lu and Y.L. Lin(2012), “Dose coporate governance play an important role in BHC performance? Evidence from the U.S.”, Economic Modelling, 29, 751-760.
    14. Tsay, W.J. Haung, Y.T. Fu, I.L Ho(2012), ”A simple closed form approximation for the cumulative distribution function of the composite error of stochastic frontier models”, J Prod Anal.
    15. Carta, A. and M.F.J. Steel(2001), “Modelling Multi-output Stochastic Frontier Using Copula,” Computational Ststistics and Data Analysis.
    16. Weill, L.(2004), ”Measuring Cost Efficiency in European Banking: A Comparison of Frontier Techniques,” Journal of Productivity Analysis, 21, 133-152.
    Description: 碩士
    國立政治大學
    金融學系
    101352024
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101352024
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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