(19) * ** 2001-2007 panel data logistic logistic regression model factor analysisprinciple component analysis 1997 * **
(20) 1998 1990 陸 2001 WTOworld trade organization 臨 2000 11 24 2001 6 27
(21) 2000 2001 2001 2001 7 1999 1992 95% 90%
(22) 2003 1997 2000 48 CAMEL logit 1999 80 87 2001 86 1 87 12 T 2003 90 91 2001 88 12 31 Hannan and Rhoades1987 1,046 Logistic regression Moore 1997 Logistic regression 21,907 1993 1994
(23) Avkiran1999 1986 1995 1 Logistic regression model Logistic regression model 2001-2007 7 2-3 1 Moore 1997 1999 2001 2003 2003 1993-1994 1991-1998 () 1999 2001-2002 1997-2000 Logistic regression Logistic regression model Logistic regression model Probit model Logit model 2003
(24) 8 2004 35 50% 2003 90 15 17 t Mann-Whitney-Wilcoxon 2000 2004 2001 2003 2003 ROAROE Bacon1994 1,000 logits Bhattacharya, et al.1997
(25) 1986 1991 70 Gardner1984 1978 1981 50% // 60%Miller and Noulas 1996 1984 1990 201 2 2 2003 2003 2003 2001-2002 14 15 17 1999-2003 () 31 14 t 1. 2. 3. 8
(26) 2001-2003 2004 2001-2007 CAMEL Logistic Logistic Logistic YY1 Y0 Logistic Logistic 0 1 Logistic Logistic 1 P = 23 1 + exp i b x (1) i i= 1 1 exp(z) 1 exp( z) p = = 1+ exp( z) 1+ exp( z) (2)
(27) 23 p = exp( z) = exp( b i xi ) 1+ p i= 1 (3) 23 p ln( ) = z = b i x i 1+ p i= 1 Logistic Y = β + (5) 0 + β1x 1 + β 2 X 2 + + β17 X 17 + β18z1 + β19z 2 + β 23Z 6 17 6 0 + β i X i + β j i= 1 k= 1 Y = β Z (6) Y Y1 Y0 β i X i i1,,17 β j Z j18,...,23k 1,,6 k F 1 F F 2 m X i = f F + f F +... + f F K + ε (3) (4) i1 1 i2 2 im m i (7) X fm 8) p 1 = f p m F + e 1 p 1 X i i1,,p p23 F ij j F j i F 1 F 2 F m ε i i f i f i 1 1Cov ( fi f j 0 i j ε i ε i 0ϕ i Cov ( fi ε i )0i j principal component methodprincipal factor methodmaximum likelihood method 1 1
(28) Kaiser 1 varimax 0.6 eigenvalue)loading 6 F i = Ei / Ei 100 9) i= 1 F i E i i i W ij = lij l 2 / ij Fi j=1 10) W ij i j l ij i j 3 3 x μ x δ μ x μ δ ( 1) δ x μ ( 1) δ 2007)
(29) 2001 2007 27 12 24 36 4 Taiwan Economic Journal TEJ 1. 90.12.19 90.12.19 90.12.31 90.12.31 91.2.4 91.2.4 91.2.18 4
(30) 91.2.19 91.5.9 (91.5.17 92.1.2 91.2.5 CAMEL rating capital adequacyasset qualitymanagement earningsliquidity CAMEL 17 X 1 X 2 X 3 X 4
(31) X 5 40, 2009 X 6 7% X 7 1 X 8 X 9 ROE X 10 X 11 X 12 X 13
(32) X 14 X 15 2000X 16 X 17 2. 6 Z 1 ) 100 Z 2 Z 3 Z 4
(33) 90 6 2001 0 1 Z 5 2005 Z 6 50% 50% 50% 50% 50% 40% 1 40% 0 5 Logistic 6 1. Jesen, 1986
(34) 5 () X 1 10.38% (30.68%) X 2 94.15% (4.39%) X 3 5.50% (5.87%) X 4 5.67% (5.67%) X 5 39.95% (28.56%) X 6 18.35% (9.49%) X 7 80.30% (9.42%) X 8-9.00% (92.09%) X 9-13.71% (104.03%) X 10 0.003% (3.36%) X 11-0.30 (3.92) X 12 29.99% (11.37%) X 13 79.57% (89.32%) X 14 0.32% (24.58%) X 15 7.46% (13.21%) X 16 5.96% (15.01%) X 17-89.28 (1714.22) Z 1 6089.09 (1279.49) Z 2 3269.26 (2236.75) Z 3 75.20 (49.52) Z 4 0.90 (0.30) Z 5 0.01% (0.02%) Z 6 0.12% (0.32%)
(35) 6-59.461 16.77 X 1 0.205 * 0.106 X 2 0.555 *** 0.121 X 3-0.184 0.154 X 4-0.194 0.124 X 5 0.016 ** 0.007 X 6 0.079 *** 0.023 X 7-0.031 0.021 X 8-0.041 *** 0.015 X 9 0.009 0.012 X 10 0.081 0.16 X 11 0.672 * 0.407 X 12-0.032 0.0027 X 13-0.044 *** 0.017 X 14-0.022 *** 0.007 X 15 0.012 0.022 X 16 0.055 *** 0.021 X 17-0.001 * 0.001 Z 1 0.000 *** 0.000 Z 2 0.002 *** 0.000 Z 3-0.055 *** 0.008 Z 4 10.608 12.277 Z 5-8.334 43.342 Z 6-9.52 *** 1.448 958 *** ** * 1%5% 10%
(36) 2002 Peristiani, 1993 2. 2002 Focarelli, et al., 2002)
(37) 40% 95 40% 2000 2003 1. 7 43.37% 6.808 0.6 18.17% 3.083 12.99% 2.254 10.87% 1.794 8.03% 1.285 6.57% 1.072 70.85%
(38) 7 (%) (%) -0.68 0.957 0.737 0.793-0.957 0.846 0.887-0.74 6.808 29.6 43.37 0.687 0.866 3.083 13.4 18.17 0.857 0.873 0.905 2.254 9.8 12.99 0.651-0.86-0.872 1.794 7.8 10.87 0.627 0.697 0.63 1.285 5.59 8.03 0.739-0.851 1.072 4.66 6.57 70.85% 100% 2. 8
(39) 8 1 9.16 19-0.22 2 8.38 20-0.62 3 7.67 21-1.19 4 6.02 22-1.98 5 5.99 23-2.29 6 5.94 24-2.47 7 5.89 25-2.51 8 5.83 26-2.62 9 4.99 27-3.22 10 4.95 28-3.54 11 4.43 29-3.71 12 4.24 30-4.04 13 3.37 31-7.06 14 2.97 32-12.77 15 2.09 33-15.26 16 1.49 34-17.69 17 0.15 35-19.98 18 0.1 36-28.21 12 9 7 7 10 11 40%
(40) pukii 9-0.3606-0.1088 0.2518 1-0.3014-0.0651 0.2363 2-0.0597-0.0054 0.0543 3-0.0736-0.0418 0.0317 4-0.1044-0.091 0.0134 5 0.0646 0.0671 0.0025 6 0.081 0.0834 0.0024 7 0.0279-0.0151-0.0431 8 0.0509-0.0246-0.0754 9 0.1775-0.0522-0.2297 10 0.2784 0.0084-0.27 11 0.3565 0.0403-0.3162 12 10 11 1 1 2 2 3 3 4 4 5 5 6 6 7 7 8 8 9 9 10 10
(41) 1 90 95 96 95 96 陸 96 1 0.4 0.2 0-0.2-0.4-0.6 90 91 92 93 94 95 96 2 94 2.5
(42) 2 0.5 0.4 0.3 0.2 0.1 0-0.1 90 91 92 93 94 95 96 logistic 20002003
(43) 1. 2. 臨 3.
(44) 96 11 363 96.12 624,822 491,415 1,116,237 1. 88 2. 11 80 1-27 3. -DEA 93 4. 96 5. 88 6. 90 7. 92 8. 10 93 57-84 9. spss 95 10. - 90 11. 92 12. 92 13. 10(1) 94 5-12 14. 93 15. 100 98 16. 89 17. 92 18. 90 381 91 81-87
(45) 19. 92 20. - 95 21. 92 22. Avkiran, N. K., The evidence on efficiency gains: the role of mergers and the benefits to the public, Journal of Banking & Finance, Vol. 23, 1999, pp. 990-1013. 23. Bacon, F. W., Shin, T. S., and Murphy, N. B., Factors Motivating Mergers: The Case of Rural Electric Cooperatives, International Journal of the Economics of Business, Vol. 46, No. 2, 1994, pp. 129-134. 24. Bhattacharya, A., C. A. Lovell, K. and Sahay, P., The Impact of Liberalization on the Productive Efficiency of Indian Commercial Banks, European Journal of Operational Research, Vol. 98, 1997, pp. 332-345. 25. Focarelli D., Panetta, F., and Salleo, C., Why do banks merge: Some empirical evidence from Italy. Journal of Money, Credit & Banking, Vol. 34, No. 4, 2002, pp. 1047-1066. 26. Gardner, Simulation of natural scenes using textured quadric surfaces, Computer Graphics, Vol. 18, No. 3, 1984, pp. 11-20. 27. Hannan T. H., and Stephen, A. R., Acquisition Targets and Motives: The Case of the Banking Industry, Review of Economics and Statistics, Vol. 69, No. 1, 1987, pp. 67-74. 28. Jesen, M., Agency Cost of Free Cash Flow Corporate Finance, and Takeover, American Economic Review Papers and Proceeding, Vol. 3, 1986, pp. 323-329. 29. Miller, S. M. and Noulas, A. G., The technical efficiency of large bank production, Journal of Banking & Finance, Vol. 20, No. 3, 1996, pp. 495-509. 30. Moore R. R., Bank acquisition determinants: implications for small business credit, Federal Reserve Bank of Dalla Studies on Financial Industry in the Financial Sector, April, 1997. 31. Peristiani, S. The Effects of Mergers on Bank Performance, Federal Reserve Bank of New York Studies on Excess Capacity in the Financial Sector, March, 1993.