Title page for etd-0705112-123520


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URN etd-0705112-123520
Author SHENG-YUAN HUNG
Author's Email Address No Public.
Statistics This thesis had been viewed 5341 times. Download 266 times.
Department Finance
Year 2011
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Impact of Off-balance Sheet Activities on Taiwan's Banks Performance: An application of ARCH-M Model
Date of Defense 2012-06-23
Page Count 42
Keyword
  • Non-interest Income
  • Diversification
  • ARCH-M Model
  • Off-balance Sheet Activities
  • Abstract This paper investigates the influence of the shares of non-interest income and the diversification, which result from off-balance sheet activities, on the performance of banking in Taiwan. I also use ARCH-M model in this study. The sample period is from January 2000 to December 2011. I find that all sample banks and private banks do not benefit from off-balance sheet activities, but government banks benefit from off-balance sheet activities. In this paper, I also use CUSUM test to find the structural breakpoint and discuss the situation in accordance with it. The result shows that the structural breakpoint is at July 2002, which closes to the founded time of lots of financial holding companies. After the structural breakpoint, the positive impact of shares of non-interest income and diversification on the performance disappear.
    Advisory Committee
  • Shyh-weir - chair
  • Chih-Hsing Hung - co-chair
  • So-De Shyu - advisor
  • Ming-Chi Chen - advisor
  • Files
  • etd-0705112-123520.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-07-05

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