【摘要】：銀行信息披露質(zhì)量不良可以導(dǎo)致金融危機的發(fā)生和蔓延。如果投資者無法判斷銀行面臨的風(fēng)險,面對系統(tǒng)壓力時將收回貸款,加劇銀行危機。次貸危機中信息不對稱所帶來的災(zāi)難就是最有力的證明。我國信息披露制度形成較晚,大多研究針對信息披露內(nèi)容展開,鮮少將信息披露質(zhì)量量化。信息披露質(zhì)量逐漸優(yōu)化,銀行穩(wěn)定性隨時間也在逐漸增強,探索信息披露與銀行穩(wěn)定是否存在關(guān)系,是在從新的角度考量銀行穩(wěn)定的因素的研究。本文通過實證分析,證明了信息披露質(zhì)量對銀行穩(wěn)定性存在正效應(yīng),隨著規(guī)模增大,信息披露質(zhì)量的影響也增強。首先,本文從理論分析入手,分析了我國商業(yè)銀行穩(wěn)定性的直接影響因素以及信息披露質(zhì)量對其作用機理。投資者需要銀行提供關(guān)于投資者所面臨風(fēng)險的信息,這樣才能有效評估風(fēng)險并承擔(dān)風(fēng)險。如果危機發(fā)生時,投資者沒有足夠準(zhǔn)確的信息來評估風(fēng)險,將導(dǎo)致融資成本增加,加劇危機。由此導(dǎo)致市場紀(jì)律機制不能正常運行,銀行系統(tǒng)杠桿率將增加,銀行系統(tǒng)脆弱性也隨之增加。并且,信息披露欠缺會導(dǎo)致監(jiān)管部門失察,嚴(yán)重妨礙自由市場內(nèi)在約束力的效果。銀行管理層缺少監(jiān)督,將可能選擇高風(fēng)險高回報投資,或造成不良資產(chǎn)的增加,使銀行的穩(wěn)定性降低。其次,研究通過構(gòu)造代理變量,衡量信息披露質(zhì)量以及銀行穩(wěn)定性程度。通過對我國信息披露的理論分析,選取20個信息披露質(zhì)量指標(biāo),建立了信息披露質(zhì)量指數(shù)Index,選取中國16家上市銀行過去十年的數(shù)據(jù),對我國商業(yè)銀行信息披露質(zhì)量進(jìn)行了描述性分析。隨后,建立距離破產(chǎn)風(fēng)險概率指數(shù)Z-score,分析我國商業(yè)銀行穩(wěn)定性,分別從國有銀行與非國有銀行衡量,發(fā)現(xiàn)二者的相似與差異。最后,建立面板回歸模型。對變量序列進(jìn)行了單位根檢驗,并針對序列間相關(guān)性的判斷進(jìn)行了協(xié)整檢驗。通過對變量系數(shù)進(jìn)行估計,證明信息披露質(zhì)量對銀行穩(wěn)定的影響。建立固定效應(yīng)模型,并對模型進(jìn)行穩(wěn)健性檢驗。由于國有銀行與非國有銀行的穩(wěn)定性差異,選擇構(gòu)造虛擬變量,檢驗信息披露質(zhì)量對二者的效應(yīng)。由于銀行規(guī)模不同,銀行穩(wěn)定性不同,將商業(yè)銀行按規(guī)模分類,并再次檢驗,研究信息披露質(zhì)量對不同規(guī)模的商業(yè)銀行穩(wěn)定性的影響。根據(jù)研究結(jié)果,建議我國商業(yè)銀行加強信息披露質(zhì)量,改善信息披露準(zhǔn)確性,推進(jìn)銀行監(jiān)管制度的提高,才能有效地推進(jìn)我國銀行業(yè)的穩(wěn)定壯大。
[Abstract]:The poor quality of bank information disclosure can lead to the occurrence and spread of financial crisis. If investors are unable to judge the risks faced by banks, they will withdraw their loans in the face of systemic pressure, exacerbating the banking crisis. The disaster caused by the information asymmetry in the subprime mortgage crisis is the most powerful proof. The system of information disclosure in our country was formed late, most of the research focused on the content of information disclosure, and the quality of information disclosure was quantified. The quality of information disclosure is gradually optimized and the stability of banks is gradually enhanced over time. To explore the relationship between information disclosure and bank stability is to study the factors of bank stability from a new perspective. This paper proves that the quality of information disclosure has a positive effect on the stability of banks by empirical analysis, and the effect of information disclosure quality increases with the increase of scale. First of all, this paper analyzes the direct influence factors of the stability of commercial banks and the mechanism of the quality of information disclosure. Investors need banks to provide information about the risks they face in order to effectively assess and take risks. If the crisis occurs, investors do not have enough accurate information to assess the risk, will lead to increased financing costs, exacerbating the crisis. As a result, market discipline will not work properly, the leverage ratio of the banking system will increase, and the vulnerability of the banking system will also increase. Moreover, lack of disclosure can lead to oversight by regulators, seriously hampering the inherent binding effects of free markets. A lack of supervision on the part of bank management may result in high risk and high return investment or an increase in non-performing assets, making banks less stable. Secondly, the research measures the quality of information disclosure and the degree of bank stability by constructing agent variables. Based on the theoretical analysis of information disclosure in China, this paper selects 20 information disclosure quality indicators and establishes the information disclosure quality index (Index,) to select the data of 16 listed banks in China in the past ten years. The quality of information disclosure of commercial banks in China is analyzed in a descriptive way. Then, the probabilistic index Z-scoreis is established to analyze the stability of commercial banks in China. The similarity and difference between state-owned banks and non-state-owned banks are found. Finally, the panel regression model is established. The unit root test and the cointegration test for the correlation between the variables are carried out. The influence of information disclosure quality on the stability of banks is proved by estimating the coefficient of variables. The fixed effect model was established and the robustness of the model was tested. Because of the stability difference between state-owned banks and non-state-owned banks, we choose to construct virtual variables and test the effect of information disclosure quality on them. Due to the different scale of banks and the different stability of banks, the commercial banks are classified according to the scale and tested again to study the influence of the quality of information disclosure on the stability of commercial banks of different scales. According to the research results, it is suggested that Chinese commercial banks should strengthen the quality of information disclosure, improve the accuracy of information disclosure, and promote the improvement of banking supervision system, so as to effectively promote the stability and growth of our banking industry.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.33;F830.42

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