股市波动对我国商业银行经营绩效的影响研究

发布时间：2018-01-01 23:20

本文关键词：股市波动对我国商业银行经营绩效的影响研究　出处：《浙江财经学院》2013年硕士论文　论文类型：学位论文

【摘要】：银行经营绩效是指银行利用经济资源实现经营目标的程度，是银行经营效率的综合体现，具有多样性、多维性、动态性等特点。因此，我们常常通过对绩效进行评价来研究银行的经营绩效。改革开放以来，我国金融市场不断完善，影响商业银行经营绩效的因素也越来越多。2006年以来，随着我国股权分置改革的基本完成，作为资本市场主力军以及金融核心的股票市场也日趋完善与健全。作为我国金融市场上两大主体的商业银行和股票市场，两者之间的关联度越来越高。因此，研究两者之间的关系具有重要意义。目前，国内外学者关于股市波动对银行影响的研究主要集中在股市波动对银行信贷、储蓄、资本等单方面的研究，而鲜有股市波动对银行整体经营绩效影响方面的研究。本文试图在这个方面有所突破，试图研究股市波动对商业银行经营绩效影响的传导途径，以及股市波动对商业银行经营绩效到底存在多大影响。本文从理论和实证两个方面对上述问题进行了深入研究。理论方面，，首先阐述了银行经营绩效的影响因素。在国内外学者关于银行经营绩效影响因素研究的基础上，本文根据影响因素的特点，把它们分为三类：即宏观因素（包括利率变动、股市波动、经济周期和经济政策）、行业因素（包括市场结构、监管因素）、微观因素（包括银行规模、资产负债率、资产质量、资本充足率和中间业务水平），并分别加以阐述；并根据商业银行经营的特点，从盈利性、流动性、安全性和成长性四个方面构建了商业银行经营绩效的指标体系。其次，本文分析了股市波动对商业银行经营绩效影响的传导途径，并分别从股市波动对银行资产、负债、中间业务、资本这四个方面加以分析，其中，对资产的影响主要从股市波动对企业信贷、个人信贷以及资产质量的影响这三方面展开分析；对负债的影响主要通过股市分流效应和存款结构变化等方面进行分析；对中间业务的影响主要从银行的手续费、服务费和管理费等非利息收入方面加以阐述；对资本的影响则主要通过资本充足率来体现。并在此基础上总结出股市波动对银行经营绩效影响的微观传导机制。实证方面，本文选取了符合我国银行业和股票市场特征的变量，将变量分为商业银行经营绩效变量（被解释变量）、股市波动变量（解释变量）和控制变量三部分。其中银行经营绩效变量通过盈利性指标（总资产收益率）、流动性指标(存贷比)、安全性指标（不良贷款率、资本充足率）、成长性指标（存款增长率、贷款增长率）这四个方面来衡量；股市波动变量选取以上证综合指数为基础计算的指数波动率为衡量指标；控制变量选用了银行自身变量（银行规模、资产负债率）以及宏观经济变量（GDP增长率、CPI增长率以及利率）这两大类控制变量。接着，对这些研究变量进行了单位根检验、协整检验，运用面板模型，对我国14家上市商业银行在2007年到2011年间的季度数据进行了实证检验，结果表明，股市波动与商业银行的总资产收益率显著负相关，与不良贷款率、存款增长率以及贷款增长率显著正相关，与存贷比、资本充足率则无显著影响关系。也即股市波动给商业银行的盈利水平和安全性带来负面影响，对商业银行的成长性带来正面影响，与商业银行的流动性则相关性不大。在控制变量方面，银行资产负债率与不良贷款率、资本充足率以及贷款增长率负相关；银行规模与不良贷款率正相关，与资本充足率负相关；GDP增长率与不良贷款率正相关，与总资产收益率、贷款增长率负相关；CPI增长率与总资产收益率正相关，与资本充足率、存款增长率以及贷款增长率负相关；利率与总资产收益率、不良贷款率、资本充足率正相关，与存贷比、存款增长率以及贷款增长率负相关。最后，本文根据前面的理论分析和实证检验，分别对完善股票市场和加强商业银行经营管理这两个方面提出了一些建议。股票市场可以从制度建设、监管体系以及加强对投资者保护和教育这几个方面来完善；而商业银行的经营管理则可以通过加强应对股市波动风险的能力以及增强业务发展能力等方面进行加强。
[Abstract]:The operating performance of the bank the bank is using economic resources to achieve business objectives, is a comprehensive reflection of the bank's operating efficiency, diversity, multidimensional, dynamic characteristics. Therefore, we evaluate the performance of the bank's operating performance. Since the reform and opening up, China's financial markets continue to improve, influence factors of the performance of the commercial banks are more and more.2006 years, with the completion of China's share reform, the capital market as a main force as well as the financial core of the stock market has become more and more perfect and perfect. As the two main financial market of China's commercial banks and the stock market, the relationship between the two is more and more high. It has important significance to study the relationship between them.
At present, domestic and foreign scholars on the study of stock market volatility impact on banks, mainly concentrated in the stock market volatility on bank credit, savings, capital of unilateral, the research on the bank overall performance and rarely affect the stock market volatility. This paper attempts to make a breakthrough in this aspect, attempts to study the pathway of stock market fluctuation on operating performance of commercial bank the stock market volatility, and the performance of commercial banks in the end have much impact.
This paper studies the above problems from the two aspects of theory and empirical theory. Firstly, the factors that affect the performance of banks. In the domestic and foreign scholars on bank performance influencing factors based on the study, according to the characteristics of influence factors, they are divided into three categories: macro factors (including changes in interest rates, stock market fluctuation, economic cycle and economic policy), industry factors (including the market structure, regulatory factors), micro factors (including bank scale, asset liability ratio, asset quality, capital adequacy ratio and intermediate industry Wu Shuiping), and analyzed respectively; and according to the characteristics of commercial banks from the profitability, liquidity of the four aspects of security and growth to construct the index system of performance of commercial banks. Secondly, this paper analyzes the stock market volatility of the commercial bank business performance impact pathway, and separately from the The stock market volatility on bank assets, liabilities, capital intermediary business, the four aspects of analysis, the influence of assets mainly from the stock market fluctuation on business credit, personal credit and asset quality of the three aspects of analysis; analyze the impact on debt mainly through the stock market diversion effect and deposit structure changes. Effect of intermediate business; mainly from the bank's fee income, expounds the service fees and management fees and other non interest; the impact on the capital is mainly through the capital adequacy. And on this basis, summed up the micro transmission mechanism of stock market fluctuation on the performance impact of the bank.
The empirical analysis, selected in line with China's banking and stock market variables, the variables are divided into commercial bank performance variables (explanatory variables), the fluctuation of stock market variables (variables) and control variables of three parts. The operatingperformance through profitability index (ROA) index. The liquidity (deposit ratio), security index (the ratio of non-performing loans, capital adequacy ratio), growth index (deposit growth rate, loan growth rate) of the four aspects to measure the volatility of stock market volatility; variable selection of Shanghai Composite Index Based on the calculation of the rate as the index; the control variables include the bank's the variables (bank scale, asset liability ratio) and macroeconomic variables (GDP growth rate, CPI growth rate and interest rate) of these two categories of control variables. Then, studies on these variables by the unit root test, cointegration test, application The panel model, the empirical test of listed commercial banks in China in 14 to 2011 years of quarterly data in 2007 showed that the total asset return volatility in the stock market and commercial banks was significantly negatively correlated, and the rate of bad loans, the growth rate of the growth rate of deposits and loans was positively correlated with the loan to deposit ratio, no significant effect of capital adequacy ratio. The negative impact on profitability and safety stock market volatility to commercial banks, has a positive impact on the growth of commercial banks and commercial banks, liquidity is of little relevance. In the control variable, the bank asset liability ratio and non-performing loan ratio, capital adequacy ratio and loan growth the rate is negatively related to bank size and the rate of bad loans; positive correlation, negative correlation with the capital adequacy ratio; GDP growth rate has a positive correlation with the rate of bad loans, and the rate of return on total assets, loan growth rate is negatively related to CPI; The growth rate is positively related to total assets yield, and negatively related to capital adequacy ratio, deposit growth rate and loan growth rate. Interest rate is positively related to total assets yield, non-performing loan ratio and capital adequacy ratio, and negatively related to deposit loan ratio, deposit growth rate and loan growth rate.
Finally, according to the above theoretical analysis and empirical, respectively, puts forward some suggestions for the improvement of the stock market and strengthen the management of commercial banks. The two aspects of the stock market from the system construction, supervision system and strengthen investor protection and education aspects to improve; and the management of commercial banks can be through to deal with the stock market volatility risk and enhance the ability of business development and other aspects of strengthening.

【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.51;F224

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