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銀行合規風險與流動性創造

Bank Compliance Risk and Liquidity Creation

作者:孫子茜
畢業學校:國立高雄第一科技大學
出版單位:國立高雄第一科技大學
核准日期:2016-01-06
類型:Electronic Thesis or Dissertation
權限:Copyright information available at source archive--nkfust....

中文摘要

本文主張合規風險會傷害銀行聲譽並降低其流動性創造能力。為檢驗該主張,本文以2004年至2014年的台灣31家銀行為樣本,採用闕河士等(2013; 2014)改編自Berger and Bouwman (2009)的方法去衡量銀行的流動性創造,並以銀行的違法與違規事件數目作為銀行的合規風險之衡量。利用動態縱橫資料模型檢驗銀行的合規風險事件與流動性創造之關係。實證結果發現,合規風險事件越多的銀行其流動性創造較低,部分證據指出小型銀行受到的影響程度較大。此外,銀行的自有資本、資產規模、盈餘波動性、內部董事和營收多角化都會影響流動性創造。

英文摘要

We argue that the compliance risk events would injure reputation of banks and decrease their ability of liquidity creation. A sample which consists of 31 banks from Taiwan over the period 2004 to 2014 is used to test the proposition. Indicators from Berger and Bouwman (2009) adapted by Chueh et al. (2013; 2014) are used to measure liquidity creation. Compliance risk is measured by the number of compliance risk events reported on the news from TEJ database. Dynamic panel data model is employed to test the relationship between compliance risk events and liquidity creation. The result shows that banks with more compliance risk events have significantly lower liquidity creation and small banks reducing more. It means that compliance risk events hurt banks ability of liquidity creation. In addition, the evidence also documents that bank capital, asset size, earnings volatility, inside directors, and revenue diversification can affect liquidity creation.


召集委員 - 葉仕國

委員 - 王健聰

指導教授 - 闕河士

委員 - 菅瑞昌


 

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