TheCostEfficiencyandRiskofCommercialBanksinTaiwan--AnApplicationofHeteroskedasticStochasticFrontierAnalysis.PDFVIP

J. J. Dai, C. Y. Ting / Asian Journal of Management and Humanity Sciences, Vol. 1, No. 3, pp. 404-421, 2006 Special Section on Finance The Cost Efficiency and Risk of Commercial Banks in Taiwan -- An Application of Heteroskedastic Stochastic Frontier Analysis JIN-JOU DAI1,* AND CHIA-YU TING2 1 Department of Finance, National Taichung Institute of Technology, Taiwan 2Department of Finance, Chaoyang University of Technology, Taiwan ABSTRACT A stochastic cost frontier model allowing for heteroskedasticity was applied to a panel data set composed of the observations from thirty-five commercial banks during 1994-2004. The empirical results show that the ratio of small and medium business loans, total assets, number of ATMs, and overdue loan ratio had a negative effect on banks’ efficiency.The variables of operating profit margin, loans to deposits ratio, numbers of IC cards and equity ratio had a positive effect on banks’ efficiency. Moreover, those banks with higher degrees of financial leverages and overdue loan ratios would have a higher risk of costs while those banks with higher ratios of capital adequacy, net investments, and fees and commission revenues would have a lower risk of costs. Key words: stochastic cost frontier function, cost efficiency, cost risk, heteroskedasticity. 台灣商業銀行成本效率與風險之研究 --異質變異隨機邊 界分析之應用 1,* 2 戴錦周 、丁佳瑜 1 國立臺中技術學院財務金融系 2 朝陽科技大學財務金融系 摘要 本文利用1994-2004 年間35 家本國商業銀行組成的緃橫資 料(panel data) ，在考慮異質變異 性之下，推估隨機成