證券商資本適足性管制與分析－台灣上櫃券商之實證

Abstract

在金融市場逐漸走向自由化與國際化的趨勢下，利率、匯率，以及股價的波動幅度日益激烈，無法掌握的不確定因素因而增加，使得證券商暴露在高度的市場風險中，風險管理取代了傳統利潤為導向的管理方針。 資本適足性一向為金融主管機關作為金融預警系統的通用指標之一。財政部證券暨期貨管理委員會於民國八十七年公佈「證券商自有資本管理辦法」，因而引發探討對資本適足性與證券商資產組合結構與倒閉風險之關係。 本研究以民國八十四年至八十七年之國內上櫃綜合證券商為研究對象，進行兩階段的檢定，藉由觀察此一風險性資產導向的新資本管制方案宣告實施前後期間，證券商資產組合結構與倒閉風險的變化，以資評估該方案對抑制證券商追求高風險資產組合行為以及降低倒閉風險的政策效果。 綜合檢定結果發現：(1)在「證券商自有資本管理辦法」宣告後，證券商之資產組合結構確實已有顯著性的改變。證券商在因應此一風險性資產導向資本管制的對策上，傾向採取增資提高自有資本比率以及降低負債的方式來進行資產組合的調整，而並非往低風險資產組合與縮短業務規模進行調整。(2)在風險導向新資本管制方案宣告後，證券商倒閉風險有上升的態勢。

Because of the innovation and deregulation of financial markets, the safety of security firm is getting more and more important. The volatility of interest rate、exchange rate and stock index varies and fluctuates. The risky causes of financial markets increase. All the security firms are highly exposed. Therefore, the risk management of the brokers is more important. Capital Adequacy is one of the Surveillance System for Financial Institution. Because of the announcement of the Capital Adequacy for security firm by SFC from 1998, the study estimates the effect of risk-based capital regulation, and their impact on the risk adjustment of the security firm. The empirical investigation is carried out by using data 17 domestic security firms from 1995 to 1998. We design a two-field test to examine the significance or implication on security firms’ portfolio, and their bankruptcy risk. The empirical results suggest that (1) the security firms did respond to the new capital regulation by reshuffling their portfolios. The security firm tended to raise their capital levels or decrease their growth of liability in response to the promulgation of the new Act rather than reshuffling their asset portfolios toward less risky assets or less their asset growth. (2) the risk of security firms’ bankruptcy does increase.