中國大陸自銀行體制改革以來，其經營模式逐漸具備雛型，更加入WTO後進行商業銀行市場化的改革，奠定了爾後大陸銀行的獲利績效及國際知名度之基礎。2007年起，因為中國銀監會對於實施新巴塞爾資本協議作出了具體承諾，許多大型商業銀行開始積極地提升本身風險管理的能力。2008年，正當金融海嘯襲捲全球的金融業時，中國銀行業並沒有受到太大的衝擊，其資產規模及營收獲利反而逆勢成長，都更加顯示出中國銀行業對於危機的抵禦能力是有所提升的。但是在金融海嘯過後，拜中國大陸的寬鬆貨幣政策及振興經濟方案所賜，市場上開始憂慮中國銀行業可能蒙受鉅額風險的假說，且此風險並非市場風險，而是個別銀行所面臨的非系統風險。本文利用馬可夫狀態轉換模型(Markov regime-switching model)對中國大陸14家上市銀行之股價進行檢測，發現中國銀行業的股價行為於金融海嘯過後確實存在有結構性轉變的情形，且觀察不同狀態下的風險變化後，證實中國銀行業所面臨的非系統風險是顯著降低，此意謂著市場上對於中國銀行業會蒙受鉅額風險的看法過於悲觀。

Since reformed of banking structure in China, banks have been gradually developed their operation system. Moreover, the restructure in commercial bank after joined WTO had established China’s banks performance and international reputation. Since 2007, many large commercial banks have strength its risk management based on the commitments made by China Banking Regulatory Commission (CBRC) to follow the New Basel Capital Accord. When the global banking industry is devastated by global financial crisis (GFC) during 2008, China’s banks are less affected by GFC. In addition, the capital scale and revenues performance were thrived during GFC. Therefore, it shows that banks in China had improved the resilience ability during financial crisis. However, being originated in China’s loose monetary policy and economic stimulus package after GFC, investors worried that domestic banks might bear high risks. Notably, the risk is specific risk from each bank instead of system risk. This study employs Markov regime-switching model to examine 14 China banks’ stock prices. The empirical evidence supports our hypothesis that behavior of China banks’ stock prices has confronted structural change after GFC. Furthermore, this research presents that unsystematic risks from each bank were significantly decreased after GFC. It indicates that investors are too pessimistic on the banks in China might suffer high risk after government interventions.

論文審定書 ....................................................................i
誌謝 ............................................................................... ii
中文摘要 ....................................................................... iii
英文摘要 ....................................................................... iv
第一章 緒論 ................................................................. 1
第一節 問題背景 ......................................................... 1
第二節 研究動機與目的 ............................................. 4
第三節 研究問題 ......................................................... 5
第四節 研究架構與流程 ............................................. 6
第二章 文獻探討 ......................................................... 8
第一節 事件研究法相關文獻 ..................................... 8
第二節 門檻迴歸相關文獻 ......................................... 9
第三節 馬可夫狀態轉換模型相關文獻.............................. 11
第四節 小結 ................................................................ 13
第三章 研究方法 ........................................................ 14
第一節 市場模型 ........................................................ 14
第二節 馬可夫狀態轉換模型 .................................... 15
第四章 實證結果與分析 ............................................ 25
第一節 樣本資料 ........................................................ 25
第二節 單根檢定 (Unit Root Test) .......................... 26
第三節 市場模型估計 ................................................ 31
第四節 馬可夫狀態轉換模型估計 ............................ 33
第五節 檢定模型是否存在結構性轉變 – LR test.... 36
第六節 過濾機率及平滑機率圖 ................................ 39
第七節 關於實證結果的佐證分析 ............................ 47
第五章 研究結論與建議 ............................................ 67
第一節 研究結論 ........................................................ 67
第二節 研究貢獻 ........................................................ 68
第三節 研究建議 ........................................................ 69
第四節 研究限制 ........................................................ 69
第六章 參考文獻 ........................................................ 70
第一節 中國大陸文獻 ................................................ 70
第二節 國外期刊文獻 ................................................ 70
附錄A ........................................................................... 74
附錄B .......................................................................... 80

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