管理階層持股比率與台灣銀行業風險承擔行爲之門檻效果關係研究

Threshold Effect in the Relationship between Managerial Ownership and Risk-Taking Behavior-the Case of Taiwanese Banking Industry

10.29916/JMPP.200712.0002

丁碧慧(Pi-Hui Ting)；陳寧馨(Ning-Shin Chen)；陳信文(Hsin-Wen Chen)

門檻效果 ； 持股比率 ； 風險承擔行爲 ； Threshold Effect ； Ownership ； Risk

管理實務與理論研究

1卷4期（2007 / 12 / 01）

26 - 48

繁體中文

近年中信金、中華銀行等爆發一連串弊端，而這些銀行的共通點都是管理階層的家族性強烈，所以本研究也合理的懷疑管理階層持股比率是否會影響公司風險的承擔水準。本研究分別以逾放比及總風險、公司特有風險及系統風險爲銀行風險之衡量指標，來衡量台灣金融業管理階層持股比率對銀行風險承擔行爲之影響，並運用分段線性迴歸模型(Piecewise regression)檢測是否存在一管理階層持股比率之門檻值，使管理階層持股比率對銀行風險之影響呈現上下不對稱之關係。 實證結果發現，代表銀行信用風險之逾期放款比率與管理階層持股比率間存在單一門檻效果。在此一門檻值之前管理階層持股比率之提高使銀行風險上升；而在門檻值之後，管理階層持股比率之提高則使銀行風險下降，顯示當管理階層持股比率達到某一門檻確實可有效降低銀行風險。然管理階層持股比與總風險、公司特有風險與系統風險之關係則並不顯著。

There are several abuses happened in some banks such as the Chinese Bank and the Chinatrust Commercial Bank recently, and the common point among these banks is the top managers belong to the family members. Therefore, the paper suspects logically if the managerial ownership would affect the risk-taking. Using the NPL ratio, total risk, firm specific risk and systemic risk to measure bank risk, the paper examines how the managerial ownership affects the bank risk-taking in Taiwanese banking industry. Besides, the paper employs piecewise regression to test if the linear relationship between managerial ownership and risk-taking behavior changes when the managerial ownership is above or below a certain threshold level. The result shows that there is a threshold in the relationship between the NPL ratio and the managerial ownership. When the managerial ownership is above the threshold level, managerial ownership is negatively related to the NPL ratio. But, after the managerial ownership threshold, managerial ownership is positively related to the NPL ratio. In contrast, total risk, firm specific risk and systemic risk are unrelated to managerial ownership.

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