台灣銀行業申設大陸分行宣告效果與異常報酬研究

Abstract

本研究將採用「事件研究法」（Event Study），探討金管會核准銀行業設立大陸分行事件(2010年6月25日及前、後各二個相關日)之宣告效果(假說一、二)，與設立大陸分行及營業項目核准過程持續性累積異常報酬(假說三)，亦即探討市場投資人對設立大陸分行事件的反應。報酬率採連續複利報酬率，估計期採用市場模式普通最小平方法(Ordinary Least Square；簡稱OLS)建立迴歸模式，估計樣本銀行在事件發生情況下預期報酬率並檢測核准設立大陸分行及相關業務事件是否會有顯著異常報酬率相關性，輔以敘述性統計分析作為判斷依據。

研究結果發現：（1）核准設立大陸分行事件，會對銀行業股價產生顯著的累積異常報酬。（2）已核准設立大陸分行或辦事處銀行業者會產生高於尚未核准設立大陸分行或辦事處銀行業者股價累積異常報酬。(3）金管會單方面核准及大陸銀監會雙方面核准申設大陸分行相關業務過程會對台灣銀行產業股價持續性累積異常報酬產生重大影響。

This study uses the「Event Study」to explore the announcement effects (hypothesis 1 & 2) of the FSC approvement of the bank industry establishing branches in China (June 25, 2010), and the establishment of branches in China and items of business approval process persistent CAR (hypothesis 3), that is, to explore the market reaction of investors to establish branches in China. The rate of return uses continuous compounding, and the estimated period uses the Ordinary Least Squares of the market regression model. It estimated the rate of return that the sample of banks when the event occured and expected to detection approve the establishment of the branches in China and business event whether there will be a significant correlation of AR, supplemented by descriptive statistical analysis as the basis to judge. The results show that: (1) approved the establishment of branches in China, the bank industry’s stock will produce significant CAR. (2) the bank branches or offices which are approved in China will produce higher CAR. (3) Both approved of establishment branches by FSC and CBRC in China related business process have a significant impact on bank industry in Taiwan stock prices persistent CAR.