本國系統性重要銀行經營效率之研究

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Title:	本國系統性重要銀行經營效率之研究
Other Titles:	A Research on the Operational Efficiency of Domestic Systemically Important Banks
Authors:	翁靜滿 WONG, CHING-MAN
Contributors:	財務金融學系財務管理碩士班吳依正 WU, YI-CHEN
Keywords:	系統性重要銀行;大到不能倒;事件研究法;資料包絡分析法 Systemically Important Banks;Too Big To Fail;Event Study Method;Data Envelopment Analysis Method;ESG
Date:	2023
Issue Date:	2023-11-14 13:49:45 (UTC+8)
Abstract:	全球因美國2008年發生次級房貸危機，導致雷曼兄弟倒閉事件，進而引發全球金融風暴，為避免類似案件再度發生，故有系統性重要銀行(D-SIBs)產生，本研究採用事件研究法、資料包絡分析法及迴歸模型，以2017年1月1日至2022年12月31日為研究期間，研究樣本以金管會公告之名單，以事件研究法探究入選D-SIBs是否有正的異常報酬，並找6家對照組銀行與D-SIBs比較入選前、後之經營效率，並以永續性經營角度，來評估兩者間之經營績效。實證結果顯示：依事件期(-10,30)，總共9天有顯著異常報酬，6天有正的異常報酬，3天有負的異常報酬，顯示入選D-SIBs對金控母公司股價有正的異常報酬。以超級效率計算6年平均排名，D-SIBs平均排名為33名，Non D-SIBs對照組平均排名為39名，運用DEA模式下，D-SIBs效率優於Non D-SIBs對照組。以超級效率計算D-SIBs入選前、後2年經營效率之平均排名，入選前平均排名為43名，入選後為38名，運用DEA模式下，入選後經營效率優於入選前。永續性經營D-SIBs比Non D-SIBs對照組在E.S.G.環境構面分數平均數多13.56分，D-SIBs永續性經營效率處理較好。Non D-SIBs對照組比D-SIBs在TESG平均數多0.03分，表示Non D-SIBs對照組付出更多的心力與資金，讓環境、社會及公司治理共創三贏局面。　　The subprime mortgage crisis in the United States in 2008 led to the collapse of Lehman Brothers and the global financial turmoil. In order to avoid similar cases from happening again, D-SIBs were generated. This study adopts event study method, data envelopment analysis method and regression model, taking January 1, 2017 to December 31, 2022 as the research period, the research sample is the list announced by the Financial Supervisory Commission, and the event study method is used to explore whether the selected D-SIBs have positive abnormal returns , and find 6 control banks and D-SIBs to compare the operating efficiency before and after the selection, and evaluate the operating performance between the two from the perspective of sustainable management. The empirical results show that according to the event period (-10,30) , there are a total of 9 days of significant abnormal returns, 6 days with positive abnormal returns, and 3 days with negative abnormal returns, showing that being selected as a systemically important bank has a positive abnormal return on the stock price of the financial holding parent company. the 6-year average ranking is calculated by super efficiency, the average ranking of D-SIBs is 33, and the average ranking of Non D-SIBs control group is 39. Under the DEA mode, the efficiency of D-SIBs is better than that of Non D-SIBs control group. Calculate the average ranking of D-SIBs' operating efficiency in the two years before and after the selection based on super efficiency. The average ranking before the selection is 43, and after the selection is 38. Using the DEA model, the operating efficiency after the selection is better than that before the selection. Sustainable management D-SIBs had an average score of 13.56 points more in the E.S.G. environment dimension than the Non D-SIBs control group, and D-SIBs had better sustainable management efficiency. The Non D-SIBs control group scored 0.03 points more than the D-SIBs average in TESG, indicating that the Non D-SIBs control group put in more efforts and funds to create a win-win situation for the environment, society and corporate governance.
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