Volatility and Efficiency in a Heteroscedastic Stochastic Frontier Model: The Case of Taiwan and China Banks

應用異質性隨機邊界模型探究波動性與效率之研究：以兩岸銀行爲例

10.7086/TJAE.201009.0117

張子溥(Tzu-Pu Chang)；周雨田(Ray-Yeutien Chou)；孫蕾(Lei Sun)

波動性 ； 成本效率 ； 隨機邊界法 ； 資產報酬率 ； Volatility ； Cost Efficiency ； Stochastic Frontier Analysis ； Return on Assets

應用經濟論叢

87_S期（2010 / 09 / 01）

117 - 144

英文

本文旨在探究波動性如何影響兩岸銀行成本效率的高低程度以及變化性。本研究使用兩種波動性之衡量：銀行的資產報酬率波動性和股票報酬波動性，分別作爲會計基礎與市場基礎的波動性代理變數。本文採用Wang (2002)的異質性隨機邊界模型估計銀行成本效率以及波動性影響無效率項的邊際效果。研究結果顯示資產報酬率波動性和股票報酬波動性皆會影響成本無效率項的高低程度及變化性。高資產報酬率波動性會導致較低的成本效率和較高的效率變動性，此結果是符合預期的。此外研究發現股票報酬波動性對成本效率具有非單調的效果，即報酬波動性相對較低時，增加波動性對於成本效率是有正向效果；但報酬波動性過高時則會有反向的影響。

We explore how the volatility affects both the level and variability of cost efficiency of Taiwanese and Chinese banks. Two volatility measures are used in this study: the banks' return on assets (ROA) volatility for a proxy of accounting-based volatility, and the stock return realized volatility for a proxy of market-based volatility. This paper adopts Wang's (2002) heteroscedastic stochastic frontier model to estimate banks' cost efficiency as well as the marginal effects of volatility measures on inefficiency effect. Our empirical results show that both ROA and stock return volatility significantly affect the level and variability of inefficiency effect. The results are consistent with the prediction that a lower efficiency and higher variations in efficiency are likely to occur with a higher volatility in ROA. In addition, we find a non-monotonic effect of stock return volatility on the level of cost efficiency, indicating that return volatility could benefit cost efficiency in lower level of volatility but damages efficiency as the volatility is too high.

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