金融衍生品交易业务对我国上市银行绩效的影响研究

发布时间：2018-03-28 20:52

本文选题：金融衍生品　切入点：上市银行　出处：《安徽农业大学》2014年硕士论文

【摘要】：自上世纪70年代以来,金融衍生品凭借其杠杆性、灵活性、跨期交易性等特点,成为国内外银行业进行风险规避、套期保值的重要手段。然而,2008年全球性金融危机的发生也让各国金融机构深刻认识到金融衍生品的高风险性。在当前的金融机构不断加强风险管理的背景下,金融衍生品已经成为学术界的研究热点。十八届三中全会通过的《中共中央关于全面深化改革若干重大问题的决定》中对金融领域改革提出要“完善金融市场体系”的要求,其中也重点突出要鼓励金融创新,丰富金融市场层次和产品,这凸显了当前对金融衍生品特别是对我国上市银行金融衍生品交易业务的研究具有重要的实践意义。本文以金融衍生品相关理论研究及交易现状为基础,选取我国2008-2012年15家上市银行的面板数据为样本,运用EXCEL2003、Eviews6.0以及SPSS19.0分析处理软件,经描述性统计分析后,采用面板数据固定效应模型,分别从风险水平和盈利水平(包括财务层面和价值层面)两个方面实证研究了金融衍生品交易业务对我国整体上市银行,包括国有上市银行和股份制及城市上市银行的影响。实证结果表明：金融衍生品交易业务对我国上市银行整体并未产生理想的风险对冲效果,但对财务层面和价值层面绩效均有显著体现。从上市银行角度来看,对国有上市银行来说,产生一定的风险对冲效果,而对财务层面绩效有微弱影响,对价值层面绩效影响不显著；而对股份制及城市上市银行来说,在风险水平上的影响不显著,但对财务层面和价值层面绩效均有一定影响。从金融衍生品角度来看,对货币类衍生品来说,其在风险水平上的影响不显著,但对财务层面绩效有显著的负作用,对价值层面绩效有一定的正作用；对利率类衍生品来说,其在风险水平上的影响不显著,但对财务层面绩效有一定的正作用,对价值层面绩效有一定的负作用；对其他衍生品来说,其仅在风险水平上对我国上市银行产生一定的风险对冲效果,而在盈利水平上对银行绩效没有显著作用。基于理论研究、现状分析以及实证结果,为提升金融衍生品交易业务对我国上市银行绩效的影响,本文提出了转变经营管理理念、深化金融体制改革、强化自主创新意识、加大人才培养力度等政策建议。
[Abstract]:Since the 1970s, financial derivatives have become the risk aversion of domestic and foreign banks because of their characteristics of leverage, flexibility, intertemporal trading, and so on. However, the global financial crisis in 2008 also made financial institutions in various countries deeply aware of the high risk of financial derivatives. Financial derivatives have become a hot research topic in academic circles. The decision of the CPC Central Committee on comprehensively deepening the reform of several major issues adopted by the third Plenary session of the 18th CPC Central Committee put forward requirements for financial sector reform to "improve the financial market system." Among them, emphasis should also be placed on encouraging financial innovation and enriching financial market levels and products. This highlights the important practical significance of the current research on financial derivatives, especially on the financial derivatives trading business of listed banks in China. This paper is based on the theoretical research and trading status of financial derivatives. The panel data of 15 listed banks in China from 2008 to 2012 are selected as samples, using excel 2003 Eviews6.0 and SPSS19.0 analysis and processing software. After descriptive statistical analysis, the panel data fixed effect model is adopted. From two aspects of risk level and profit level (including financial level and value level), this paper empirically studies the effect of financial derivatives trading business on the whole listed banks in China. The empirical results show that the financial derivatives trading business has no ideal risk hedging effect on the listed banks in China. From the point of view of listed banks, it has a certain risk hedging effect for state-owned listed banks, but has a weak impact on financial performance. It has no significant effect on the performance at the value level, but not on the risk level of the joint-stock system and the urban listed banks, but it has a certain impact on both the financial level and the value level. From the perspective of financial derivatives, For currency derivatives, the influence on risk level is not significant, but it has significant negative effect on financial performance, positive effect on value level, and interest rate derivatives. Its influence on risk level is not significant, but it has some positive effect on financial level performance and negative effect on value level performance; for other derivatives, It only produces a certain risk hedging effect on the listed banks in our country in the risk level, but has no significant effect on the bank performance in the profit level. Based on the theoretical research, the present situation analysis and the empirical results, In order to improve the effect of financial derivatives trading on the performance of listed banks in China, this paper puts forward some policy suggestions, such as changing the concept of management, deepening the reform of financial system, strengthening the consciousness of independent innovation, and strengthening the training of talents.
【学位授予单位】：安徽农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;F832.33

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