[[alternative]]Derivatives Use, Risk Management, Corporate Governance, and Bank Efficiency: Some International Evidences from Listed Banks during the U.S. Subprime Lending Crisis and European Sovereign Debt Crisis

系統編號: PF10206-0437計畫編號: NSC102-2410-H343-001執行機構: 南華大學財務金融學系研究期間: 10208~10307[[abstract]]近期兩次全球性的金融危機爆發，即美國次貸危機(2007~2009 年)與歐洲主權債危機(2010~2012 年)不僅對各國金融業產生大規模不利的實質影響，而且也對於個別銀行的經營績效產生相當全面性的衝擊，此凸顯銀行如何使用衍生性金融商品進行交易或避險、風險管理機制及公司治理品質良窳皆攸關銀行在金融危機中與後的績效表現。基於個別銀行在風險管理機制、公司治理實務及衍生性金融商品使用上存在資訊揭露不透明和普及性，過去相關研究多以個別國家的金融業為研究對象，主要針對銀行風險與市場評價來看，較少從銀行經營績效觀點進行實證分析；同時，多國且全球性的實證研究卻相對較少，更缺乏完整探討銀行效率在兩次金融危機前、中、後期間的變化。本研究以全球上市商業銀行於2007 年至2011 年間為樣本為主，使用貝氏隨機效率前緣法(Bayesian SFA)估計銀行技術效率值，並實證探討銀行在衍生性金融商品使用、風險管理品質、公司治理品質對銀行效率的影響。實證結果指出銀行使用衍生性金融商品會降低技術效率；相反地，風險管理與公司治理品質愈高則愈顯著地提升銀行的技術效率水準。特別是，銀行在全球金融危機期間使用衍生性金融商品會顯著地降低技術效率；相反地，銀行在歐洲主權債危機期間使用衍生性金融商品會顯著地提高技術效率，凸顯使用衍生性金融商品具有避險的效果。不論全球金融或在歐洲主權債危機期間，風險管理與公司治理品質愈高則愈顯著地提升銀行的技術效率水準。[[abstract]]In recent two global financial crises (GFCs), including U.S. Subprime Lending Crisis over 2008-2009 and European Sovereign Debt Crisis from 2010 to 2011, have not only caused real negative effects on banking industry cross the country, but also shown comprehensive and world-wide impacts on individual bank＇s efficiency, implicating that how bank level of derivatives use for trading or hedging, risk management mechanism, and the quality of corporate governance before, during, and after GFCs substantially influence bank efficiency in context of international investigation. Previous research related to risk management mechanism, corporate governance practices, and derivatives use by bank most focus on both of bank risk and market valuation from selective study of single country because of information disclosure opaque and limited； however, there is little known from the perspective of bank efficiency from global study based on difference-indifference during, and after GFCs. This research proposal tends to extend two years to thoughtfully investigate those issues due to costly and timeconsuming data collection process for the handcollected information on derivatives use and position, risk management committee, and corporate governance form listed banks around the globe. Using Bayesian SFA approach to estimate bank＇s technical efficiency, this paper empirically investigates impacts of derivatives use, risk management, and corporate governance on bank efficiency based on global bank-level data over 2007-2011. Our results indicate that bank using derivatives would significantly reduce technical efficiency, but banks with higher quality of risk management and corporate governance would significantly enhance efficiency, especially during both global financial crises (GFCs) and European Sovereign Debt Crisis