探討影響台灣地區銀行系統性風險的影響因素：CoVaR風險值的應用與實證分析

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/26639

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/26639

Title:	探討影響台灣地區銀行系統性風險的影響因素：CoVaR風險值的應用與實證分析
Other Titles:	Factors Influencing Systemic Risk in Taiwanese Banks: Application of CoVaR and Empirical Analysis
Authors:	王藝臻 WANG, YI-CHEN
Contributors:	財務金融學系財務管理碩士班陳昇鴻;張瑞真 CHEN, SHENG-HUNG;CHANG, JUI-CHEN
Keywords:	銀行系統性風險;影響因素;CoVaR風險值;台灣地區銀行 Bank Systemic Risk;Influencing factor;CoVaR;Taiwanese Banks
Date:	2018
Issue Date:	2018-12-20 16:53:19 (UTC+8)
Abstract:	本論文應用Adrian and Brunnermeier (2016)所提出CoVaR的研究架構，藉由完整的理論性分析架構與實證檢驗，進一步對2000 年至2017年間台灣地區的銀行業系統性風險進行實證估計。本論文主要收集自台灣經濟新報資料庫(TEJ)中2000年至2017年間上市（櫃）銀行股價與財務報表資料為主，研究對象包含金融控股公司與個別商業銀行。當銀行有較多的董事會人數、董監事持股比率、機構投資人持股比率、大股東持股比率、內部經理人持股比率、存借款平均利息以及規模時，會顯著地提高銀行的CoVaR值，而當銀行有較高的獨立董事席次、流動比率、BIS資本適足率、淨值報酬率時，會顯著地降低銀行的CoVaR值。　　This thesis applies the theoretical framework of CoVaR proposed by Adrian and Brunnermeier (2016) to empirical estimate the systematic risks of Taiwanese banks from 2000 to 2017, using the data on stock price and financial statements of the listed banks from the Taiwan Economic New Journal (TEJ). The empirical results indicate that when the bank has more board members, directors' shareholding ratio, institutional investor holdings ratio, shareholding ratio of major shareholders, internal manager shareholding ratio, average interest on deposit and loan, and scale, it will significantly increase the bank's CoVaR. Banks with higher number of independent directors, current ratio, BIS capital adequacy ratio, and net return will significantly reduce the CoVaR.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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