中美商业银行金融衍生工具绩效比较  

The Comparison of the Performance of Financial Derivatives of Sino-US Commercial Banks

作　　者：马孝先[1] 郑萍[1] 公伟[2] 

机构地区：[1]山东财经大学金融学院 [2]中国工商银行山东省分行

出　　处：《金融论坛》2013年第2期73-79,共7页Finance Forum

基　　金：企业金融衍生业务风险测度及管控研究(10BGL054);基于空间效应计量方法的山东区域经济发展内生性研究(ZR2012GM010);山东省政府金融泰山学者基金资助

摘　　要：本文基于面板数据模型,实证研究了中美商业银行配置金融衍生工具的绩效差异。结果发现,美国商业银行配置金融衍生工具对其权益收益率有正向的显著影响,而对其股票价格波动率和财务困境程度的影响并不显著;中国商业银行配置金融衍生工具对其权益收益率和证券市场波动率均有正向的显著影响,并且对权益收益率的影响强度明显大于对市场波动率的影响强度,对财务困境程度的影响也不显著。中国银行业应更积极参与金融衍生市场,逐步加大金融衍生工具配置比重,改善非传统业务利润的构成。Based on panel data model, this paper presents an empirical study of the difference in the performance of financial derivatives of Sino-US commercial banks. It is found that the financial derivatives of US commercial banks have positive and significant impacts on their returns on equity, but they＇re not significant on the fluctuation of the stock price of the banks and the degree of financial difficulty; the financial derivatives of Chinese commercial banks have positive and significant impacts on their returns on equity and the fluctuation of the stock price of the banks, and the impacts on returns are significantly greater than those on the fluctuation, but also they are not significant on the degree of financial difficulty. Chinese banks should be more actively involved in financial derivative markets, gradually increase the proportion of financial derivatives and change the profits composition of non-traditional business.

关 键 词：商业银行 金融衍生工具 财务困境 权益收益率 股票价格波动率 

分 类 号：F832[经济管理—金融学] F837.12