Nonlinear Analysis for the Effect of ANC on Financial Performance of Futures company – an Application of PSTR

• Main Authors: Shu-Yu Yang, 楊書禹
• Other Authors: Chieh-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/88690407797696320872

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 99 === The study on the adjusted net capital (ANC) of the domestic futures commission merchants focus more on the effect of ANC on the risk, but not on the financial performance. However, the question that is the ANC analogous to the capital adequacy ratio (CAR) having the threshold effect on bank’s financial performance is worth investigating. Therefore, this research employs panel smooth transition regression model (PSTR) elaborated by , and (2004, 2005) to investigate the nonlinear smooth transition effect of the ANC on the financial performance of the futures commission merchant. The results hopefully can be utilized as valuable reference to futures commission merchant’s strategy setup. The result from our PSTR investigation shows that there exists a threshold value for the ANC at the rate of 5.7329% and the speed of transition with the slope of 548.4963 is nearly the Hansen’s (1999) nonlinear threshold model which jumps abruptly. The overall analyses for the upper and lower regions are summarized as follows. We first find that the effect of the size on the earning for the futures commission merchants in Taiwan turns from positive to negative across the threshold value of ANC ratio at 5.7329% , both regions are shown to be significant. This implies that it’s better to increase the company size under the lower region and decrease it under the upper region in order to increase the financial performance for futures commission merchants. Moreover, when ANC ratio is also used as an explanatory variable, we empirically find that negative effects of the ANC ratio on the financial performance are shown under both the lower and upper regions. The negative impact of ANC ratio on financial performance is even worse and significant under the upper region.