本文探討因資產負債表外活動增加，產生銀行非利息收入比例增加與多角化，對台灣銀行業表現的影響，並加入ARCH-M模型討論，研究樣本為2000年1月到2011年12月的銀行加總資料。從全體樣本銀行與民營銀行來看，資產負債表外活動增加，對銀行表現無正面影響，但對於公股銀行而言，能夠享受資產負債表外活動增加所帶來的利益。本文也使用CUSUM檢定找出期間內的結構性轉變點並探討，發現結構性轉變點發生在2002年7月，這與國內金融控股公司成立的時間點接近，而結果也發現結構性轉變點後，非利息收入比例與多角化對原本對銀行表現的正面影響將消失。

This paper investigates the influence of the shares of non-interest income and the diversification, which result from off-balance sheet activities, on the performance of banking in Taiwan. I also use ARCH-M model in this study. The sample period is from January 2000 to December 2011. I find that all sample banks and private banks do not benefit from off-balance sheet activities, but government banks benefit from off-balance sheet activities. In this paper, I also use CUSUM test to find the structural breakpoint and discuss the situation in accordance with it. The result shows that the structural breakpoint is at July 2002, which closes to the founded time of lots of financial holding companies. After the structural breakpoint, the positive impact of shares of non-interest income and diversification on the performance disappear.

第一章、緒論 ………………………………………………………………………1
第一節、研究背景與動機 ……………………………………………………1
第二節、研究目的 ……………………………………………………………2
第三節、研究架構 ……………………………………………………………3
第二章、相關文獻探討 ……………………………………………………………4
第一節、資產負債表外活動對獲利表現影響相關文獻 ……………………4
第二節、非利息收入、OBS活動、銀行多角化其他相關議題文獻 ………6
第三節、小結 …………………………………………………………………7
第三章、研究方法 …………………………………………………………………8
第一節、資料來源 ……………………………………………………………8
第二節、變數解釋 ……………………………………………………………11
第三節、研究工具 ……………………………………………………………13
第四章、實證分析 …………………………………………………………………16
第一節、基本統計量分析 ……………………………………………………16
第二節、模型設計 ……………………………………………………………18
第三節、實證結果 ……………………………………………………………19
第五章、結論 ………………………………………………………………………30
第一節、結論 …………………………………………………………………31
第二節、建議 …………………………………………………………………31
參考文獻 …………………………………………………………………………32
附錄 ………………………………………………………………………………35

Allen, J. (2005). Non-interest Income and U.S. Bank Stock Returns. Job Market Paper.
Baele, L., De Jonghe, O. and Vander Vennet, R. (2007). Does the Stock Market Value Bank Diversification? Journal of Banking & Finance, 31, 1999-2023.
Berry, C. H. (1975). Corporate Diversification and Market Structure. Bell Journal of Economics and Management Science, 21, 2-26.
Books, C. (2008).Introductory Econometrics for Finance. Cambridge University Press.
Boyd, J. H. and Gertler, M. (1994). Are Banks Dead? Or Are the Reports Greatly Exaggerated? Federal Reserve Bank of Minneapolis Quarterly Review, 18, 1-27.
Busch, R. and Kick, T. (2009). Income Diversification in the German Banking Industry. Working paper, Deutsche Bundesbank.
Brown, R. L., Durbin, J. and Evans, J. M. (1975) Techniques for Testing the Constancy of Regression Relationships over time. Journal of the Royal Statistical, 37, 149-192.
Calmès, C. and Théoret, R. (2009). Off-Balance-Sheet Activities and the Shadow Banking System. Working Paper 2009-09, Chaire d’information financière et organisationnelle, ESG-UQAM.
Calmès, C. and Théoret, R. (2010). The Impact of Off-Balance-Sheet activities on banks returns: An Application of the ARCH-M to Canadian Data. Journal of Banking & Finance, 34, 1719-1728.
Casu, B. and Girardone, C. (2004). An Analysis of the Relevance of Off-Balance Sheet Items in Explaining Productivity Change in European Banking. Applied Financial Economics, 15, 1053-1061.
Clark, J. A. and Siems, T. F. (2002). X-Efficiency in Banking: Looking Beyond the Balance Sheet. Journal of Money, Credit, and Banking, 34, No.4.
Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987-1007.
Engle, R. F., Lilien, D. and Robins, R. (1987). Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model. Econometrica, 55, 391-407.
Goddard, J., McKillop, D. and Wilson, John O. S. (2008) The Diversification and Financial Performance of US Credit Unions. Journal of Banking & Finance, 32, 1836-1849.
Lepetit, L., Nys, E., Rous, P. and Tarazi, A. (2008). Bank Income Structure and Risk: An Empirical Analysis of European Banks. Journal of Banking & Finance, 32, 1452-1467.
Petersen, M. A. (2004). Comment on Stiroh. Journal of Financial Services Research (25:2/3), 161-167.
Stiroh, K. J. (2004a). Diversification in Banking: Is Noninterest Income the Answer? Journal of Money, Credit, and Banking, 36, No.5.
Stiroh, K. J. (2004b). Do Community Banks Benefit from Diversification? Journal of Financial Services Research, 25, 125-160.
Stiroh, K. J. and Rumble, A. (2006). The Dark Side of Diversification: The Case of US Financial Holding Companies. Journal of Banking & Finance, 30, 2131-2161
邱美菁、許永明、陳寧馨 (2011)，台灣銀行業多角化經營對績效的影響。商略學報 2011年，3卷，3期，155-174。
陳曉蓉、蔡尚峰(2005)，非利息收入對於台灣銀行業之影響。建華金融季刊 第三十期。
蔡奇芳(2011)，台灣地區公股、公股民營化及民營銀行經營績效與經營非傳統業務分析。東海大學管理碩士在職專班 碩士論文。