股市波动对我国商业银行经营绩效的影响研究
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浙江财经学院硕士学位论文
I
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
浙江财经学院硕士学位论文
II
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。
关键词：经营绩效；股市波动；商业银行；传导途径
浙江财经学院硕士学位论文
III
ABSTRACT
The operating performance of the bank which stands for the operating efficiency of
the bank refers to the level of the bank making use of the economic resources to realize
their operating purpose, and it is diversified, multi-dimensional and dynamic. So we use
it to measure the operating performance. As the financial market improves constantly in
China since the reform and open, there are more and more factors that affect the
performance of the banks. The stock market which plays an important role in the capital
and finance market has been maturing since 2006, and it has a close relationship to the
commercial banks. Therefore, it is of great significance to study the relationship
between the stock market and commercial banks.
At present, the domestic and foreign scholars’ studies about the relationship
between the stock market and the commercial banks mainly focuses on the influence of
the stock market fluctuation to the bank credit, savings, capital and so on, and there are
usually unilateral studies. However, there are a few researches about the stock market
fluctuation to the bank's business performance. Therefore, this article attempts to
achieve a breakthrough in this area, and tries to study the conduction pathways of stock
market fluctuation to the commercial banks, and the degree of the impaction between
them.
This paper studies the above questions from the theoretical and empirical aspects.
In the theoretical part, this article illustrates the factors of the operating performance of
the bank firstly. And they are divided into three kinds according to their characteristics
on the basis of the domestic and foreign scholars’ studies about the influencing factors
of the bank performance-- macroeconomic factors(including interest fluctuation, stock
market fluctuation, economic cycle and economic policy), industry factors(including
market structure and supervision system) and microeconomic factors(including the size
of the bank, the debt-to-asset ratio, asset quality, capital adequacy ratio and the level of
intermediary business). And then this paper constructs the bank’s performance index
system from four parts--profitability, liquidity, security and growth, according to the
operating characteristics of the commercial banks. Secondly, this paper analyzes the
conduction pathways of the stock market fluctuation on the operating performance of
the commercial banks from the following four aspects: there are bank assets, liabilities,
intermediate business and capital. However, the stock market fluctuation impacts the
浙江财经学院硕士学位论文
IV
assets mainly through business credit, personal credit and asset quality; it impacts the
liabilities by affecting the deposit quantity and structure; the intermediate business
influence mainly through the bank charges, fees and management fees; and the
influence of capital mainly through the capital adequacy. At last, this paper summarizes
the transmission mechanism of the stock market fluctuation on the operating
performance of the commercial banks.
In the empirical part, first of all, this paper selects some impact variables based on
the features of the banking and stock market, and divides the variables into commercial
bank’s operating performance variable (dependent variable), the stock market
fluctuation variable (independent variable) and control variable. The operating
performance is measured by four indicators, including profitability (the rate of return on
total assets), liquidity (loan-to-deposit ratio), the safety (the ratio of non-performing
loans, the capital adequacy ratio), and growth (deposit growth rate, the loan growth
rate).The stock market fluctuation variable is calculated on the basis of the Shanghai
Composite Index. Control variable include the bank's variables (the size of the bank, the
debt-to-asset ratio) and macroeconomic variables (the GDP growth rate, the CPI growth
rate and the interest rate). Secondly, this paper uses the panel model to test empirically
the quarterly date of 14 commercial banks in 2007-2011 after the variables all have been
unit root tested and cointegration tested. The results show that, the stock market
fluctuation has a negative correlation with the rate of return on total assets, and has a
positive correlation with the ratio of non-performing loans, deposit growth rate and the
loan growth rate, and has no correlation with the loan-to-deposit ratio and the capital
adequacy ratio. In other words, the fluctuation of the stock market brings negative effect
to the commercial bank's profitability and safety, brings positive effect to the
commercial bank’s growth, and the liquidity of commercial banks is of little relevance,
and brings no influence to the liquidity. In the control variables, the debt-to-asset ratio
has a negative correlation with the ratio of non-performing loans, the capital adequacy
ratio and loan growth rate; the size of the bank has a positive correlation with the ratio
of non-performing loans, and has a negative correlation with the capital adequacy ratio;
the GDP growth rate has a positive correlation with the ratio of non-performing loans,
and has a negative correlation with the rate of return on total assets and the loan growth
rate; the CPI growth rate has a positive correlation with the rate of return on total assets,
and has a negative correlation with the capital adequacy ratio, deposit growth rate and
the loan growth rate; the interest rate has a positive correlation with the rate of return on
浙江财经学院硕士学位论文
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total assets, the ratio of non-performing loans and the capital adequacy ratio, has a
negative correlation with the loan-to-deposit ratio, deposit growth rate and the loan
growth rate.
In the last, this paper provides some suggestions for stock market and commercial
banks respectively according to the foregoing theoretical analysis and empirical test. On
one hand, Stock market can be improved by completing the institution, strengthening
the investor protection and education; on the other hand, the management of
commercial banks can be improved through the improvement of management
mechanism, by enhancing the ability of the business development and strengthening the
external environment.
Key words: operating performance; stock market fluctuation; commercial bank；
transmission pathway
浙江财经学院硕士学位论文
VI
目录
第一章 绪论 ........................................................ 1
第一节 研究背景和意义 ............................................ 1
第二节 国内外研究现状 ............................................ 3
第三节 研究内容与方法 ............................................ 8
第四节 创新与不足 ............................................... 10
第二章 银行经营绩效及其影响因素分析 ................................ 11
第一节 银行经营绩效的评价方法 ................................... 11
第二节 银行经营绩效的影响因素分析 ............................... 14
第三章 股市波动对经营绩效的影响及其微观传导机制 .................... 17
第一节 股市波动对经营绩效的影响 ................................. 17
第二节 股市波动对经营绩效影响的微观传导机制 ..................... 23
第四章 股市波动对银行经营绩效影响的实证分析 ........................ 27
第一节 样本选取与数据来源 ....................................... 27
第二节 模型的构建与变量定义 ..................................... 28
第三节 股市波动对银行经营绩效影响的实证分析 ..................... 30
第五章 结论与建议 .................................................. 39
第一节 实证结论 ................................................. 39
第二节 政策建议 ................................................. 40
参考文献 ........................................................... 43
附录 ............................................................... 46
致谢 ............................................................... 47
摘要：
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浙江财经学院硕士学位论文I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...
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作者：周伟光
分类：高等教育资料
价格：15积分
属性：51 页
大小：1.17MB
格式：PDF
时间：2024-09-30
