| Summary: | 碩士 === 東吳大學 === 經濟學系 === 100 === The paper studies quarterly data on asset securitized activities of 9 domestic banks, which are subsidiaries of financial holding companies (FHC), and 4 banks, which are not subsidiaries of FHC, from 1st quarter of 2003 to 4th quarter of 2010. Through the stochastic frontier approach (SFA) and the metafrontier approach model, it estimates an envelope curve covering all cost function of banks inside and outside FHC and compares operational efficiency between each bank/each group and the impact before/after the financial tsunami.
In this study, the empirical result shows that (a) the more asset securitized activities, the less operational efficiency in banks inside and outside FHC ; (b) banks, with poor management on Rate-sensitivity gap, inside FHC can not adjust the interest rate risk through securitized funds; (c) the higher degree of internationalization in banks, the better cost efficiency; (d) the financial tsunami has an impact on investment or business activities in banks inside and outside FHC and increases the cost of inefficiency; (e) a bank inside FHC gets closer to the meta frontier, has better technical performance and higher meta frontier cost efficiency value (CE* value) than a bank outside FHC; (f) a bank outside FHC has high volatility on the technology gap rate (TGR value) and CE* value, but small bank sometimes has better performance; (g) all banks have higher CE* value and better cost control technology before the financial tsunami than after the tsunami. For the group analysis, a bank inside FHC has higher CE* value and TGR value than a bank outside FHC before the tsunami. On the contrary, a bank outside FHC has higher CE* value and TGR value than a bank inside FHC. Furthermore, the banks inside FHC have poor cost control technology, higher technology gap and higher CE* value. After the financial tsunami, due to the decline in the ratio of asset securitization, the banks outside FHC improve the cost control technology. Therefore, CE* only has a slight decline because the improved technology wrote off the cost of inefficiency.
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