期貨商財務績效與經營風險

Financial Performance and Business Risk of Futures Commission Merchants: A Panel Threshold Regression Approach

本研究探討台灣期貨商之經營風險和財務績效間的關係。期貨商的經營風險係以調整後淨資本比例（ANC ratio）為代理變數。本研究並使用非動態縱橫資料門檻模型（Hansen, 1999）來分析期貨商之經營風險對財務績效之結構性不對稱影響。研究樣本期間為2005年1月1日至12月31日，為平衡型之縱橫資料。實證結果顯示，期貨商之調整後淨資本比例及財務績效之間的關係存在一個重要的門檻。當期貨商之調整後淨資本比例高於門檻值時，調整後淨資本比例及財務績效無顯著關係。然而，當調整後淨資本比例低於門檻值時，財務績效與調整後淨資本比例有顯著的負向關係。這意味著期貨商似可透過適當管理以降調調整後淨資本比例，以擴大其業務能力，提高財務績效。

In this paper, we investigate the relationship between business risk and financial performance of the Futures Commission Merchants (FCMs) in Taiwan. The business risk of FCMs is proxied by the adjusted net capital (ANC) ratio. In particular, the non-dynamic panel threshold model (Hansen, 1999) is used to analyze the effect of structural asymmetry of business risk and financial performance of FCMs. The sample period starts from January 1, 2005 through December 31, 2008 and the panel data is a balanced type. The empirical results show that there exists a significant threshold between the relationship of ANC ratio and financial performance. When ANC ratio is above the threshold value, there does not exit a significant relation between ANC ratio and financial performance. However, when ANC ratio is below the threshold value, financial performance has a significant negative relationship with ANC ratio. This implies that there might be some spaces for the limit of the ANC ratio to be appropriately downward adjusted for the FCMs to enhance their financial performance through expanding their business capacities.