A study on financial holding companies' performance and risk: Evidence from subsidiary combination and market share

本研究利用複迴歸模型與追蹤資料模型，透過子公司市佔率探討金控子公司組合，與公司績效及風險之關聯性，期望能找出何種子公司組合，對於金控公司的績效與風險最有影響。依據2002-2015之季資料，本文主要研究結果如下： (一)若以全產業角度而言，壽險業、證券業與票券業市佔率，對於金控績效與風險影響較為顯著。壽險業市佔率增加，會提高金控之系統風險與個別風險，而證券業市佔率增加，會提高金控的總風險、系統風險與個別風險。本研究推測主要原因為壽險業與證券業的產業風險較高，容易影響金控之經營風險，故有此現象。 (二)金控若採用雙引擎策略，可以降低金控之總風險與系統風險，亦即雙引擎策略對金控之風險經營有穩健的效果。 (三)以銀行業與壽險業組合為探討對象時，則發現銀行業市佔率提高，可能使金控之破產風險上升，而壽險業的市佔率提高，金控之總風險與系統風險亦會提升。此結果顯示銀行與壽險業的子公司組合無法有效改善金控之風險因子。 (四)以銀行業與產險業組合為探討對象時，則發現銀行市佔率提升，可能使金控之各項風險因子增加，並且會降低風險調整後的報酬。而產險業市佔率增加，則會降低金控績效，並提高金控之破產風險。 (五)以銀行業與證券業組合為探討對象時，則發現證券業市佔率增加，僅會顯著增加金控之個別風險。 (六)以銀行業與票券業組合為探討對象時，則發現銀行業市佔率增加，可能使金控之績效下降，並提高金控之破產風險，然而若票券業市佔率提高，反而會增加金控之經營績效，並降低破產風險。This study analyzes the effect of the subsidiary combination and market share on the performance and risk of financial holding companies (FHCs). Based on the data of 2002Q1-2015Q4, the empirical result can be summarized as follows. 1. From the viewpoint of the whole industry, there is a significant relation between the market share of the subsidiaries and the performance and risk of FHCs. The result shows there is a positive effect of life insurance market share on systematic risk and idiosyncratic risk. And there is a positive effect of securities market share on total risk, systematic risk and idiosyncratic risk. 2. FHCs can reduce their total risk and systematic risk by taking dual-engine strategy. The result shows that dual-engine strategy is a sound strategy for FHCs’ operation. 3. For the subsidiary combination of bank and life insurer, there is a positive relation between bank market share and insolvency risk. And there is a positive relation among life insurance market share, total risk and systematic risk. 4. For the subsidiary combination of bank and property insurer, there is a positive relation among bank market share and FHCs’ risk. And there is a negative relation between property insurance market share and FHCs’ performance. 5. For the subsidiary combination of bank and securities company, there is a positive relation between securities market share and idiosyncratic risk. 6. For the subsidiary combination of bank and bills company, the increase of bank market share is unfavorable for FHCs’ operation, but the increase of bills company is beneficial for FHCs’ operation