金管會裁罰案件對銀行業務與股價表現的影響

Abstract

本研究以1993年至2022年底臺灣銀行為樣本，探討金管會裁罰對銀行業務表現及市場反應的影響。研究結果顯示，無論罰款的金額、次數或嚴重程度，受罰銀行當月的稅前淨利率和存款變動率皆呈現下降趨勢，惟未達經濟顯著性。但觀察期拉長至三年，裁罰次數與稅前淨利率及存款變動率呈現顯著負相關，顯示裁罰對銀行的長期影響為負面，符合理論預期。此外，罰款原因與銀行業務表現無顯著關聯，但當罰款金額較高或罰則較嚴重時，多類裁罰原因將對稅前淨利率有負顯著加乘效果。

市場反應分析顯示，裁罰公告後會出現正累積平均異常報酬，尤其在處罰較輕的情況下，說明罰款公告消除不確定性且懲罰低於預期，市場反應正面，為Köster和Pelster (2017) 的結論提供實證支持。

This study analyzes the impact of penalties imposed by Taiwan's Financial Supervisory Commission (FSC) on banks' operational performance and market reactions, using data from Taiwanese banks between 1993 and 2022. The empirical result shows that penalized banks tend to experience a decline in both pre-tax profitability and deposits in the month the penalty is imposed. However, these immediate effects are not economically significant. Over a longer observation period of three years, the number of penalties is significantly negatively correlated with changes in pre-tax profitability and deposit levels, suggesting a long-term negative impact, which is consistent with theoretical expectations.

In terms of market reactions, the analysis reveals a positive cumulative abnormal return following penalty announcements, especially in cases of lighter penalties. This suggests that the announcement reduces uncertainty, and the penalties may be less severe than anticipated, leading to a positive market response. These findings provide empirical support for the conclusions of Köster and Pelster (2017).