金融市場自由化之實證研究

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周淑芬(Shu-fen Chou) 查詢紙本館藏

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財務金融學系

論文名稱

金融市場自由化之實證研究
(Three Essays on Financial Liberalization Effect)

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摘要(中)

本文由三篇有關金融市場自由化之文章構成，其中兩篇以新興市場由主要研究對象，第三篇以美國銀行自由化為研究對象。第一篇論文是探討新興市場金融自由化的財富效果，以十四個新興國家的公司為樣本，分析股票市場自由化宣告期間的財富效果，並提出三個假說來解釋財富效果的來源。實證結果顯示，在自由化宣告期間，高成長公司相較於低成長公司的報酬表現較佳，此與投資機會假說一致；而低自由現金流量公司相較於高現金流量的公司報酬表現較佳，顯示出自由現金流量假說要比公司治理假說強烈。除此之外，本文進一步分析銀行體系自由化的效果，結果與股票市場自由化的效果類似。最後，我們亦證明股票市場的自由化使得公司在資本的配置上更具效率。
第二篇論文主要檢視股票市場自由化對財務限制的影響，我們以東亞五國為例，利用投資與現金流量的敏感度來分析自由化是否有助於放寬公司財務融資的限制。開放外人投資股票市場不僅可以降低資金成本，亦可降低融資限制。實證結果顯示，股市自由化確實有降低財務融資限制的效果，且股利支付率是判斷公司財務限制頗佳的替代變數。在自由化後，低股利發放率公司（融資限制較高）相較於高股利發放率公司（融資限制較低）的投資現金流量的敏感度大幅下降。在考慮其他控制變數之後，此結果依然成立。
第三篇主要探討銀行產業的自由化與公司治理的關係，我們以美國解除銀行跨州經營的限制為例，探討商業銀行法令解除後的績效表現，並探討公司治理在法令解除後對銀行績效的影響程度。實證結果發現，銀行在法令解除後績效顯著改善。在獲利、經營效率與成長性上有顯著的提高，但資本風險並無增加。在公司治理機制方面，股權愈集中、CEO持股比率愈高的銀行，在法令解除後績效表現愈佳，在銀行高負債比率的特性下，此結果更能顯示股權集中的重要性，能減輕大股東對小股東與債權人的剝削。而內部持股與機構投資人持股比率，對銀行績效並無顯著影響。

摘要(英)

This doctoral dissertation contains three essays on financial liberalization effects. Two of them are dealing with stock market liberalization for emerging markets and the rest essay focus on banking liberalization for United States.
The first essay undertakes firm-level analysis of investment opportunities and free cash flow in an attempt to explain the source of the wealth effect of financial liberalization for fourteen emerging countries. We find that the market’s responses to stock market liberalization announcements are more favorable for high growth firms than for low growth firms, a result which is consistent with the investment opportunities hypothesis. We also demonstrate that firms with high cash flow experience lower announcement period returns associated with stock market liberalization than do firms with low cash flow. Our findings suggest that the free cash flow hypothesis dominates the corporate governance hypothesis in terms of the net effect of stock market liberalization on a firm’s stock returns. We further document similar evidence with regard to banking liberalization. Finally, we demonstrate that stock market liberalization leads to the more efficient allocation of capital.
In the second easy, we undertake firm-level analysis of investment cash-flow sensitivity in an attempt to explain the effects of stock market liberalization on the lifting of financial constraints in five East Asian countries. Stock market liberalization leads not only to reductions in the cost of capital, but also to the lifting of financial constraints for firms, essentially as a result of the opening up of the domestic stock market to foreign investment. We find that firms experience substantial lifting of financial constraints following stock market liberalization, and also show that the dividend payout ratio is a good proxy for identifying the financial constraints of firms prior to stock market liberalization. Those firms with low-dividend payout ratios (greater financial constraints) experience greater reductions in their investment cash-flow sensitivity than high-dividend payout ratio (less financially-constrained) firms. These findings hold even after controlling for other potential explanatory variables.
In the last essay, we examine the performance of commercial banks around the removal of geographic restriction in 22 states by four categories of performance indicators. Beginning in the late 1970s, the U.S. states began to allow intrastate acquisitions and statewide branching. We find that bank performance is significant improved. The profitability, operating efficiency and growth are all significantly increased after deregulation, but the capital risk is not increased. We also investigate the role of corporate governance in determining bank performance during deregulation. Banks with higher ownership concentration experience higher return around deregulation. A higher percentage of CEO ownership induces higher returns. It is not surprising that the protection of minority shareholders is more important for bank due to higher leverage and depositors have less incentive to monitor banks. The impact of institutional and insider ownerships are insignificant. Finally, we demonstrate that our results are robust to alternative performance measures of banks.

關鍵字(中)

★ 銀行自由化
★ 公司治理
★ 銀行績效
★ 財務融資限制
★ 投資現金流量敏感度
★ 新興市場
★ 金融自由化
★ 投資機會
★ 自由現金流量

關鍵字(英)

★ financial liberalization
★ inve
★ emerging markets

論文目次

Table of Contents
Page
Acknowledgements.....................................................................................................I
Chinese Abstract........................................................................................................II
English Abstract........................................................................................................III
Table of Contents......................................................................................................IV
List of Tables.............................................................................................................VI
Essay 1: The Impact of Investment Opportunities and Free Cash Flow on Financial Liberalization: A Cross-Firm Analysis of Emerging Economies
1. Introduction 1
2. Sample and Descriptive Statistics 6
2.1. Stock Market Liberalization Dates 6
2.2. Data and Variable Descriptions 7
3. Empirical Results 11
3.1. Overall Effect of Stock Market Liberalization on Stock Returns 11
3.2. Subsample Analysis by Investment Opportunities and Free Cash Flow 12
3.3. Cross-Sectional Regression Analyses 14
3.4. Robustness Checks 16
4. Additional Evidence 19
4.1. Wealth Impact of Banking Liberalization 19
4.2. Impact of Stock Market Liberalization on Capital Allocation fficiency 21
5. Conclusions 23
6. Reference 26
II. Essay 2: The Impact of Stock Market Liberalization on Financial Constraints: A Cross-Firm Analysis of Five East Asian Countries
1. Introduction 43
2. Sample and Methodology 45
2.1. Stock Market Liberalization Dates 45
2.2. Data and Methodology 46
2.3. Control Variables 50
3. Empirical Results 52
3.1. Investment-Cash Flow Sensitivity 52
3.2. The Effects of Different Degrees of Financial Constraints 53
4. Conclusion 55
5. Reference 56
III. Essay 3: Corporate Governance and Banking Deregulation:
Evidence from the U.S. Banking Deregulation
1. Introduction 63
2. The History of the U.S. Banking Deregulation 66
3. Methodology and Variable Definition 68
3.1. Performance Measures 68
3.2. Corporate Governance Variables 69
4. Data and Sample Description 71
5. Empirical Results 72
5.1. Bank Performance Before and After Deregulation 72
5.2. Corporate Governance and Bank Performance 74
5.3. Robustness Checks 77
6. Conclusion 77
7. Reference 79

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指導教授

周冠男、陳聖賢
(Robin K. Chou、Sheng-Syan Chen)

審核日期

2008-6-23

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