中國商業銀行海外布局之風險 - 政大學術集成

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(1)國立政治大學金融學(系)研究所碩士論文. 中國商業銀行海外布局之風險 The Risk-taking on Internationalization 政治 of Commercial Banks. 立. 大. in China. ‧. ‧ 國. 學 sit. y. Nat. io. er. 指導教授 : 李桐豪博士. n. a研究生 : 林宛璇撰 iv l C n hengchi U. 中華民國 104 年 6 月 -1-.

(2) Acknowledgements I would particularly like to gratefully and sincerely thank Prof. Dr. Lee for preparing me to accomplish my thesis during the whole master program, including valuable support during the development of the topic and conception of my master thesis as well as being ready to help throughout the entire writing process. His mentorship was paramount in providing a well-rounded experience consistent with my long-term career goals. He not only offers assistance in my academic area but also gives me instructions and opinions in future career. For everything you’ve done. 政治大 I would also like to 立 thank Dr. Chih for her assistancesin providing insightful as. for me, Dr. Lee, I thank you.. ‧ 國. 學. well as experienced research skills throughout the thesis-writing process. Her patience and understanding really encourage me to devote myself into my thesis in. ‧. order to make my result as perfect as possible. Furthermore, I’m really glad to meet. sit. y. Nat. her in my last year of master program because she is able to provide me with many. n. al. er. io. different insights in academic research as well as practical applications.. Ch. engchi. -2-. i n U. v.

(3) 摘要本文主要探討中國銀行業國際化與風險之關係。由於政府政策利多、人民幣國際化以及中國企業”走出去”策略，提供中國銀行業絕佳的國際化機會與環境。然而，國際化過程勢必使銀行承受更多來自國際化的波動風險，因此本文旨在探討中國銀行業在此國際化浪潮下是否更應注意風險提升的可能性。本研究以 2009 年至 2013 年中國銀行業為樣本進行實證分析。實證結果顯示，國際化活動確實為中國的銀行帶來較高的風險，也同時發現規模小以及管理階層品質較差的銀行，其風險水準也較高。另外，本研究也將中國獨特的銀行業結. 政治大的風險。國有銀行具規模大、管理品質佳且國際化的特質，我們發現國際化因立構納入迴歸分析，結果發現五大國有銀行較股份制銀行以及城市銀行擁有較高. ‧ 國. 學. 素更甚於規模以及管理階層品質，而導致五大國有銀行呈現較高的風險水平。本研究除了解國際化會導致銀行風險提高，亦探討不同擴張區域的選擇是否也. ‧. 會影響銀行的風險。結果顯示，選擇亞洲區域為擴張據點將使銀行產生較高的. n. al. er. io. sit. y. Nat. 風險。. Ch. engchi. -3-. i n U. v.

(4) Abstract The purpose of this paper is to analyze the impact ofinternationalization on bank risk in Chinese banking industry. Since Chinese banks rapidly expand their internationaloperation,we want to examine whether Chinese banks suffer more risks when they expose themselves to the global economic environment. We use a simple regression model to analyze Chinese banks during 2009 to 2013. According to our empirical results, internationalization will cause Chinese banks at a riskier level than those pure domestic banks. Moreover, smaller bank and worse managerial. 政治大 structure in our regressions 立and observe that China’s state-owned banks (BigFive). quality also increase bank risks. Besides, we include China’s special banking. ‧ 國. 學. have the highest risks although they have bigger size and better quality of management. The result illustrates that internationalization is a factor that. ‧. influences more on bank’s risks, comparing to sizes and quality of management.. sit. y. Nat. We also showthat bank expands in different regions have different risk level. For. n. al. er. io. instance, banks exposing more in Asia possess higher potential risks.. Ch. engchi. -4-. i n U. v.

(5) Content Chapter 1Introduction Chapter 2 Literature Review Chapter 3 Methodology and Framework 3.1 Methodology 3.2 Framework. Chapter 4 Variables, and summary statistics 4.1 Bank variables 4.2 Summary statistics. 政治大 Chapter 5 Empirical Results 立 5.1 Univariate analysis. ‧ 國. 學. 5.2 Regression analysis 5.3 Region analysis. ‧. n. Chapter 7 Conclusion a Reference. sit. io. er. Nat. 6.1 Alternative measures of risk 6.2 Endogeneity and sample selection concerns. y. Chapter 6 Robustness Tests. iv l C n hengchi U. Appendix. -5-.

(6) List of Tables Table 3.1. Breakdown of total banking assets in regarding of categories in 2013. 18. Table 4.1. Definitions and Summary Statistics. 38. Table 4.2. Correlation among key regression variables. 39. Table 5.1.1. Univariate analysis of Internationalization and Bank Risk. 40. Table 5.1.2. Risk (Z-score) by Different Sizes of Bank. 40. Table 5.2. Internationalization and Bank Risk: Main Regression Analysis. Table 5.3. Comparison between different bank structure (Bigfive, Joint 28 Stock, City Commercial banks.). ‧ 國. Regression Analysis with Alternative Measures of Risk. ‧. Testing Endogeneity. io. sit. y. Nat. n. al. er. Table 6.2. 學. Table 6.1. 立. 政治大. Ch. engchi. -6-. i n U. v. 26. 31 32.

(7) List of Figures Figure 1.1. China Overseas Direct Investment (ODI) not including financial sector.. 10. Figure 1.2. The ODI region of Chinese firms coincides with the internationalization scope of China’s banks.. 10. Figure 3.1. Paper framework. 17. Figure 4.1. Mean Z-score for international banks vs. domestic banks over time.. 23. Figure 4.2. Mean size for international banks vs. domestic banks over time. 24. Figure 4.3. Mean quality of management for international banks vs. domestic banks over time. 24. 學 ‧. ‧ 國 io. sit. y. Nat. n. al. er. Figure 5.1. 政治大 Different risk level in respective region between 2009-2013 立. Ch. engchi. -7-. i n U. v. 29.

(8) 1.. Introduction There are three main drivers that make this era as the greatest opportunity for. Chinese banks going international. First, traditional commercial banks in China have been flooded with excess capital. It has abundant capital supported from its huge amount of deposits. According to World Bank’s data, China‘s saving rate of almost 51% of its gross domestic product (GDP) is the second highest in the world. As a result, massive bank deposits of USD 10.97 trillion, representing 120% of China‘s GDP, demonstrate the enormous size of China‘s consumer banking market.. 政治大 Chinese commercial banks to develop overseas business, such as RMB clearing and 立. Second, RMB internationalization speeds up and provides ample opportunities for. settlement as well as the liquidity management of RMB. Third, Chinese firms have. ‧ 國. 學. been encouraged by the recent “going out” policy to expand their overseas business. ‧. and pursue new profiting opportunity. Evidently, China’s commercial banks have. sit. y. Nat. strong incentive to internationalize their business, we intend to figure out the main. io. er. reason behind this through analyzing previous researches and statistical data. We conclude our findings as the followings.. al. n. v i n C hderegulation in outbound First, following a gradual investment, Ministry of engchi U. Commerce (MOFCOM), the State Administration of Foreign Exchange (SAFE) and. the National Development Reform Commission (NDRC), which are in charge of regulating Chinese companies’ overseas expanding activities, have sought to make expanding abroad easier for Chinese companies. As a result, the internationalization of Chinese companies has increased rapidly in recent years. According to KPMG report (China Outlook 2015), it estimated that China’s outward direct investment (ODI) overtook inward foreign direct investment (FDI) in 2014 and the Ministry of Commerce estimates; moreover, this steady growth trend expects to continue as Chinese companies increasingly realize that overseas investment is an effective -8-.

(9) strategy for them to upgrade, transform and become more competitive.This acceleration in China‘s path to becoming one of the significant economies around the world provide sufficient opportunities for the internationalization of the Chinese banking industry. Chinese firms raised the overseas demand for corporate finance, investment banking services, and financial intermediations. Thus, Chinese banks have rising opportunities to get involved by providing services such as clearing, credit financing, M&A, cash management, and daily operations. Second, after analyzing the statistical data provided by MOFCOM as well as. 政治大 a better relationship is the main incentive for Chinese banks’ internationalization. 立. banks’financial statements, we find that following their clients in order to maintain. Figure 1.1 illustrates the overseas direct investment (ODI) amount of China’s. ‧ 國. 學. non-financial sectors. Except the financial crisis period from 2008 to 2009, China’s. ‧. ODI, under the support of the government, clearly is in a fast-growing trend since. sit. y. Nat. 2007. From Figure 1.2, the black area shows the regions that Chinese non-financial. io. er. ODI mainly invested in. Interestingly, when we include the percentage involvement of China’s banking industry in each region (the grey area), we found out that these. al. n. v i n two factorsare highly related C to each other. Asia possesses h e n g c h i U the greatest portion that. Chinese non-financial ODI targeted as well as the top priority that China banks choose to internationalize their business. As a result, we demonstrate that China bank’s internationalization strategies are concentrated on their clients’ “going out” expansion. The internationalization of non-financial firms and the international expansion of China’s banking industry are highly correlated.. -9-.

(10) Figure 1.1: China Overseas Direct Investment (ODI) not including financial sector.. 政治大. (Sources: Statistics from Ministry of Commerce in 2014). 立. ‧. ‧ 國. 學. n. er. io. sit. y. Nat. al. Ch. engchi. i n U. v. Figure 1.2: The ODI region of Chinese firms (in black area) coincides with the internationalization scope of China’s banks (grey area). (Sources: Statistics from Ministry of Commerce and official websites of China’s banks. Graphed by this paper). According to China Banking Regulatory Commission’s classification in its 2013 annual report, China’s banking industry are composed by two policy banks, China Development Bank(CDB), 5 large commercial banks (so called “Bigfive”), 12 joint-stock commercial banks, 145 city commercial banks,468 rural commercial - 10 -.

(11) banks, 122 rural cooperative banks, 1,803 rural credit cooperatives (RCCs),one postal savings bank, 4 banking assetsmanagement companies, 42 locally incorporated foreignbanking institutions, 68 trust companies, 176 finance companiesof corporate groups, 23 financial leasing companies, 5 money brokerage firms, 17 auto financingcompanies, 4 consumer finance companies, 987 village or township banks, 14 lending companies and49 rural mutual cooperatives. Also, according to CBRC survey at the end of 2013, there are 18 Chinese banking institutions established 1,127 overseas outlets in 51 jurisdictions with total. 政治大 and joint-stock commercial banks, 立. overseas assets exceeding USD 1.2 trillion. Not only the five large commercial state-owned banks. but also several city. commercial banks started going international in order to capture new profiting. ‧ 國. 學. opportunities and strengthen their relationship with clients. China’s banks have. ‧. expanded their global business aggressively by signing trading cooperation. sit. y. Nat. agreements with Taiwan, Hong Kong, Macau and other western markets. When a. io. er. bank expands its operations to other markets, however, a certain amount of risks arises. For example, host countries may adopt astricter supervision, which require. al. n. v i n C hlocal markets. Additionally, additional costs to comply with with more overseas engchi U. outlets, banks certainly are affected more by localhighly volatile economies. As a result, some questions arise: Is it still a good strategy to internationalize with possible potential high risks? In general, whether greater internationalization lead to lower or higher risks for Chinese banks? Furthermore, if internationalization really makes a bank riskier, does expanding region play a role in affecting risks? If yes, then which region may put a bank in a higher risk? Throughout our analysis, we use financial data from Bankscope, overseas business information from each bank’s financial statements as well as consulting reports. We analyze the relationship between internationalization and risk of - 11 -.

(12) Chinese banks from 2009 to 2013. Moreover, this paper also tries to examine whether some bank specific characteristics may influence the risk of internationalization. We adopt a simple regression model. We regress risk (measured by Z-score) on international dummy with bank characteristics such asbank size, income diversification, bank leverage, quality of management and bank structures (including Bigfive, joint-stock and city commercial categories). We observe that riskier banks possess the following characteristics: Involving internationalized business, smaller size, lower quality of management. Furthermore,. 政治大 commercial banks as well as the city commercial banks. 立. state-owned banks, or Bigfive, have higher level of risk than those of joint-stock. To verify the robustness of our empirical result, wesubstitute the original. ‧ 國. 學. regression model with alternative proxies for bank risks. We replace Z-score with. ‧. the log of Z-score for the same periodof time and the Sharpe Ratio to be our. sit. y. Nat. additional regression to examine. Besides, we also include other omitted variables. io. er. to check potential endogeneity concerns. For instance, we include asset growth and loan growth of banks in our regression model. In the end, our results still point to. al. n. v i n Ch the same conclusion: internationalization of Chinese bank will involve a higher engchi U level of bank risk.. Additionally, we tentatively explore whether expanding region plays a role in affecting bank risks. We apply those internationalized bank’s main operating location, which is derived from their financial statement or official announcements, including Asia, Europe, U.S.A and South Africa, respectively as a proxy representing the bank’s only overseas region. We takeaverage on Z-score ofthose banks whose key location are the same during our observing period from 2009 to 2013.We find that international risk is related to regions. For example, during the European Debt Crisis period, Europe region generates the highest bank risk, or the - 12 -.

(13) lowest value of average Z-score. Nowadays, Asia is the region that makes banks suffering more risk. Although Asia stands as one of the fast-growing economies around the world, and Chinese firms flock in to seize profiting opportunities, China’s banks expanding in this region should be cautious its potential risks and volatility. The rest of this paper is organized as follows. Section 2 provides a literature review. Section 3 provides a methodology and framework to test the relationship betweenbank risk and internationalization. Section 4 describes the data and selected. 政治大 Section 6 conducts several robustness tests for our regression model. Section 7 立. variables. Section 5 reports empirical evidence using yearly data from 2009 to 2013.. concludes and describes the implications of our analysis.. ‧ 國. 學 ‧. 2. Literature Review. sit. y. Nat. There are several categories to describe banks’ international involvements. 1). io. er. International Banks: Geoffrey Jones defined international banking as any banks that involve in international business, and they don’t necessarily have to adopt direct. al. n. v i n C hoverseas. 2) Multinational investment or set up branches Banks: many experts engchi U believe that it’s a relative concept compared to international banks. The basic. difference is that multinational banks have their own branches overseas, which means that multinational banks expand international business through overseas branches. 3) Transnational Banks: from”The Banker” magazine, it defines it from the operating activities. An international bank should have abundant capital, certain percentage of offshore business in total business; moreover, it has to establish branches in international financial centers, such as London, Tokyo and New York. In this paper, however, we adopt a more general definition: an international bank has branches in more than two countries and the bank itself has sufficient capital as - 13 -.

(14) well as employees are sent overseas to expand business. Many public documents from prestigious organizations such as United Nations and OECD adopt this approach to describe international banking. The process of a traditional bank becomes a transnational bank is through so-called the international banking activity. Lewis and Davis(1987, p.219) states the cross-border and cross-currency facets of banking business. They classify international banking into two main activities: 1) Traditional foreign banking 2) Eurocurrency banking. Traditional foreign banking involves transactions with. 政治大 participating in foreign exchange business with both residents and nonresidents. 立. non-residents in domestic currency while Eurocurrency banking indicates banks. What are the incentives for banks to internationalize? According to the. ‧ 國. 學. classifications from the papers of Committee on the Global Financial System. ‧. (CGFS) in 2010, the internationalization of banking reflects strategic management. sit. y. Nat. decisions. In conclusion, there are two opposite types for a bank to decide its. io. er. international strategy: 1) Passively adjust for the changes in environment. 2) Aggressively make operating strategies based on its own advantages and resources.. al. n. v i n C h bank’s clients.UGoldberg and Johnson (1990) Passive motivation includes following engchi view that banks have a natural incentive to follow their multinational non-financial customers. Furthermore, the increase in the number and size of multinational non-financial enterprises has also created a demand for very large loans, often managed as syndicated loans by pools of global financial institutions (Houston et al, 2007).Aggressive motivation appears when profitable opportunities emerge in host countries, which can help to strengthen bank’s own operation. According to the survey of European Central Bank (ECB)in 2008, international expansion is mainly driven by the pursuit of new business opportunities as well as by higher profit margins abroad. Economies of scale and scope seem to play a smaller role. - 14 -.

(15) Additionally, technological advances nowadays also act as a factor that reinforces the impact of economic integration on international banking. (CGFS Papers, 2010) Back to our original question, does it really make banks better off when they expand their business internationally? It has been a heated topic when considering the internationalization of banks. Rugman (1976) found that a higher ratio of foreign to total operations is positively related to a lower variability of earnings to book value, which means that internationalization is risk reducing. Zhang (1995) considered that geographical diversification leads to lower risk by reducing income. 政治大 bias, so geographic diversification. variability. Buch (2010) takes a similar point of view that bank asset portfolios exhibit a significant home. 立. should reduce. aggregate bank risk. However, there are several opposite opinions. Research has. ‧ 國. 學. found that banks that enjoy diversification benefits tend to build riskier portfolios in. ‧. order to realize higher returns (Demsetz and Strahan (1997), Girardone et al (2004),. Berger (2013) studies the relationship between. io. er. less risky (Berger et al (1999)).. sit. y. Nat. Hughes and Mester (1993)). As a result, more diversified banks are not necessarily. bank internationalization and risk-taking on a large sample of US banks between. al. n. v i n C bank 1989 and 2010. By measuring risk through the Z-score, he shows that U.S. U hen i h gc international banks are overall riskier than their domestic counterparts. Moreover, Gulamhussena (2014) also claims that international diversification increases bank risk. Recently, internationalization of China’s banking industry has drawn plenty of attention from Chinese scholars since the government has focused on this topic recently. For example, Sheng-Gang, Yang and Chen, Liao (2006) claim that the overseas expansion is inevitable in China’s banking industry; furthermore, the internationalization level still remained low so that the expansion path should speed up in developing new market. Wang (2006) urges the importance of the - 15 -.

(16) internationalization in China’s banking industry. Hu (2013) also indicates that even though there may exist potential risks and concerns in bank internationalization, China banks already have strengths to compete with other global banks as long as correct strategies are taken during the internationalized process. Previous. researches. mainly. focused. on. the. relationship. between. internationalization and bank performance. Nearly none of them had empirical studies on the discussion of internationalization’s effect on bank risk. Will internationalization makes banks better off or suffer them more risk exposure,. 政治大 is to determine the relationship between internationalization and bank risk in 立 which may end up eroding their profits? As a result, the main purpose of this paper. China’s banking industry.. ‧ 國. 學. 3. Framework and Methodology. ‧. 3.1 Framework. y. Nat. io. sit. Figure 3.1 is the framework of this paper. First, we start with the motivation to. n. al. er. analyze whether Chinese banks will be better off when they internationalize their. i n U. v. business overseas. Second, we study related literatures and researches to understand. Ch. engchi. the whole picture of bank internationalization, including the definitions of international banking, incentives as well as the topics that focus the relationship between bank internationalization and risk. Third, we build a simple regression model based on Berger (2013) to analyze our main topic through this paper: Internationalization versus China’s bank risk. We want to achieve several goals in this paper. First, we want to determine whether internationalization will drive banks into a riskier exposure. Second, will other factors, such as expanding locations, affect the risk level among internationalized banks? At last, we conclude our. - 16 -.

(17) observations and raise several suggestions for later future researches in our conclusion.. Figure 3.1: Framework of this paper (Source: this paper). 立. 政治大. ‧. ‧ 國. 學. n. er. io. sit. y. Nat. al. Ch. engchi. i n U. v. 3.2 Methodology This study mainly focuses on the relationship between internationalization and risk of Chinese banking industry. Our dataare mainly from Bankscope and, if necessary, we also utilize financial statements information of each China banks. The observing period throughout this research ranges from 2009 to 2013. We use a simple regression framework proposed by Berger (2013) as the following:. 𝑅𝑖𝑠𝑘𝑖,𝑡−𝑘,𝑡 = 𝛼 + 𝛽1 ∗ 𝐼𝑛𝑡𝑒𝑟𝑛𝑎𝑡𝑖𝑜𝑛𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛𝑖,𝑡−𝑘 + 𝛽2 ∗ 𝐶𝑜𝑛𝑡𝑟𝑜𝑙𝑠𝑖,𝑡−𝑘 + 𝜀𝑖,𝑡−𝑘+1,𝑡 - 17 -.

(18) Thebanking sector of Chinais most state-owned commercial banks and CBRC acts as a supervisory organization. Table 3.1 illustrates a breakdown of total banking assets different categories in 2013.. Table 3.1:Breakdown of total banking assets categories in 2013 % asset 78.2. Commercial banks Big five Joint-stock commercial banks City commercial banks Rural commercial banks Foreign banks Policy banks and CDB Rural credit cooperatives Other Total. 政治大. 學. ‧ 國. 立. 44.9 17.6 9.2 4.7 1.7 8.4 6 7.4 100. ‧. (Sources: Statistics from annual report of China Banking Regulatory Commission in 2013). sit. y. Nat. io. er. From Table 3.1, we can see that the five large state-owned banks (known as. al. v i n C h comprise the core China's banking assets. These banks e n g c h i U of China's banking system, n. the "Bigfive") are the most significant, jointly accounting for nearly45 percent of. which include Industrial and Commercial Bank of China, Bank of China, China Construction Bank, Agricultural Bank of China and Bank of Communication. Moreover, they also possess substantial influence globally. From the 2014 survey of “The Banker”, it listed 1,000 largest banks in the world calculated by their volume in Tier-1 capital. Three out of five state-owned banks are listed; furthermore, they also possess relatively a higher portion in overseas business. In this paper, we only includestate-owned banks, joint-stock banksand others, which consist of city commercial and rural commercial banks. The rest of categories, such as policy - 18 -.

(19) banks or foreign banks, are not including in our discussion for now. Nevertheless, due to the opacity of Chinese banks’financial data, we apply unbalanced data to make our research analysis andend up with 327 observations in total. Among our data, there are 5 state-owned banks, 12 joint-stock commercial banks as well as 55 city and rural commercial banks. In other words, our sample banks cover all state-owned banks, all joint-stock banks and 9% of total city and rural commercial banks. 14 out of our 72 sample banks are international banks and the others are purely domestic banks.. 政治大 4. Variables and summary statistics 立 4.1 Bank variables. ‧ 國. 學. 4.1.1 Measures of risk. ‧. We use Z-score as the main measure of bank risk, which was introduced by. sit. y. Nat. Altman first in 1968 and it has been widely used as an indicator for bank insolvency. io. er. in prior research (Boyd and De Nicolo, 2005, Laeven and Levine, 2009, Beltratti and Stulz, 2012). It represents a standard measure of distance from insolvency,. al. n. v i n Cofh the return on assets which is calculated as the ratio plus the capital ratio divided engchi U. by the standard deviation of the return on assets. Noteworthily, the larger value of Z-score indicates lower overall bank risk.. Z − score =. Average(ROA) + Average(Capital ratio) Stdv. ROA. Other than Z-score, we also apply several other alternatives for estimating bank risk. For example, we use the log of the past 3-year Z-score and the Sharpe Ratio, which measures risk-adjusted return introduced by William F. Sharpe in - 19 -.

(20) 1966. We followed Demirgüç-Kunt and Huizinga (2010) and measured it as an average of return on equity divided by the standard deviation of return on equity.. 4.1.2 Measure of internationalization Due to lack of sufficient data in China’s banks, such as foreign assets and foreign loans which are commonly used in prior related research, we use International Dummy (Inter) as a proxy to represent whether the bank involves in. 政治大. overseas operation. It takes value 1 if there are overseas business and 0 otherwise.. 立. 4.1.3 Control variables. ‧ 國. 學. We include several control variables for bank characteristics to isolate the. ‧. influence they may exert to our risk result. We first introduce the Income. sit. y. Nat. Diversification (InDiv). Stiroh (2004), DeYoung and Roland (2001), Stiroh and. io. er. Rumble (2006) all show that product diversification is a crucial determinant in deciding bank risks and they conclude that non-lending-based income, such as. n. al. Ch. trading, reduces risk-adjusted income and. engchi. v i n contributes U. to higher risks.We. followLaeven and Levine (2007) to calculate our income diversification variable as the following: 1-|(Net Interest Income – Other Operating Income)/ Total Operating Income|. Second, from prior work, we learned that bank Size (Size)is an important determinant of international competitive success (Hirtle, 1991).Some suggest that largesize may lead to significant reductions in firm-specific risk (Rebecca, 1995). Additionally, larger banks may possess greater ability to absorb risks (Berger, Bouwman, Kick and Schaeck, 2012) as well as greater ability to develop technical,. - 20 -.

(21) financial, human and material resources enhancing their efficiency (Sammeh, 2013). Our third variable controls Bank Leverage Ratio (BLR), which is calculated as equity divided by liabilities. Bank leverage plays an important role when discussing China’s banking industry.Since China experienced a large scale of credit expansion, which equals to 30% of GDP during 2008 to 2012,China became the country with the highest bank leverage among all other emerging countries. From previous research, we learned that the relationship between bank risk and bank. 政治大 systematic riskand to banks’ overall risk (Nikolaos, 2010). On the other hand, some 立. leverage is still disputable. On the one hand, leverage contributes to potential. literature argue that we can’t treat banks as firms that make loans and ignore banks’. ‧ 國. 學. role as producers of market liquidity. As a result, high leverage is an essential and. ‧. uniquely optimal feature of bank capital structures.. sit. y. Nat. Moreover, we also include the Quality of Management(QM), which is also. io. er. known for cost to Income Ratio, or efficiency ratio. It is defined as non-interest expense divided by the sum of net interest income and non-interest income,. al. n. v i n Cusually whereby non-interest expense bad debt and tax expense. From U h e nexcludes i h gc. Cocheo (2000), we learned that this measure is generally considered an important benchmark for examining the operating efficiency or quality of management. The larger the ratio indicates the lower efficiency. Furthermore, according to ECB 2010 research about the relationship between efficiency and risk in banking, the result shows that lower efficiency in banks suggests greater future risks. As a result, we can expect that a smaller value of cost to income ratio may conclude higher bank risk. At last, we include variables Bigfive (Big5) and Joint Stock (JS) to characterize the special banking structure of China. From Teresa and Dolores (2008), we - 21 -.

(22) observed that the ownership structure has a significant effect on bank risk. Based on the classifications by CBRC, Bigfive takes value 1 if it’s a state-owned bank and 0 otherwise. Joint stock is 1 if it’s included in the corresponding category that CBRC does and 0 otherwise, and when both Bigfive and joint stock both take value 0 represents a city commercial bank.. 政治大 Figure 4.1 compares the difference in risk between international banks and 立. 4.2 Summary Statistics. domestic banks. From the figure, it shows that international banks overall has lower. ‧ 國. 學. Z-score, which also means that it has higher risks, than domestic banks from 2009. ‧. to 2013. Figure 4.2 and Figure 4.3illustrate the comparisons in several bank. sit. y. Nat. characteristics between international banks and domestic banks. We can clearly. io. er. observe that international banks tend to have larger size and higher quality of management than domestic ones. Table 4.1 summarizes definitions and summary. n. al. Ch. statistics for our variables. Table 4.2 shows regression variables.. engchi. v i n the U correlation. among our key. Figure 4.1: Mean Z-score for International Banks vs. Domestic Banks over Time. Figure 4.1 illustrates the Z-score comparison between Chinese international banks and Chinese purely domestic banks for each year over our sample period from 2009 to 2013. We can therefore observe that those international banks overall possess higher risk level than those who operate purely domestic.. - 22 -.

(23) (Sources: this paper data ). 立. 政治大. ‧ 國. 學 ‧. Figure 4.2: Mean Size for International Banks vs. Domestic Banks over Time Figure 4.2 shows that internationalization banks normally have larger sizes when compared to domestic banks.. n. er. io. sit. y. Nat. al. Ch. engchi. i n U. v. (Sources: this paper data). Figure 4.3: Mean Quality of Management for International Banks vs.Domestic Banks over Time. Figure 4.3 plots another characteristic of international banks. Over our observation period, international banks tend to possess higher quality management during 2009 to 2013. - 23 -.

(24) 立. 政治大. (Sources: this paper data). ‧ 國. 學 ‧. 5. Empirical results. sit. y. Nat. 5.1 Univariate analysis. io. er. We compare the mean and medians of several key variables for the international bank and domestic bank subsamples. Table 5.1.1 shows that the mean. al. n. v i n Cwhich Z-score for international banks, is lower than domestic banks’ value U h e nis g14.56, i h c (24.55). This result supports the idea that international banks may take higher level of risk than purely domestic ones. Moreover, this conclusion holds even when we use different alternatives to measure risks, such as Sharpe Ratio. On the other hand, according to Table 5.1.2, we try to reduce the concerns that our results are affected by specific bank size, so we make comparisons between the means and medians of Z-score for international banks and domestic banks by different bank sizes.Overall, our result indicates that international banks are riskier than purely domestic banks, no matter what sizes they possess.. - 24 -.

(25) 5.2 Regression analysis To measure the effects of internationalization on the risk of Chinese banks, the following simple regression framework proposed by Berger (2013) are implemented:. 𝑅𝑖𝑠𝑘𝑖,𝑡−𝑘,𝑡 = 𝛼 + 𝛽1 ∗ 𝐼𝑛𝑡𝑒𝑟𝑛𝑎𝑡𝑖𝑜𝑛𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛𝑖,𝑡−𝑘 + 𝛽2 ∗ 𝐶𝑜𝑛𝑡𝑟𝑜𝑙𝑠𝑖,𝑡−𝑘 + 𝜀𝑖,𝑡−𝑘+1,𝑡. 政治大. Risk is bank risk, which is measured by Z-score and other proxies that are stated. 立. in the Section4.1.1. Internationalization is a dummy variable signals whether a bank. ‧ 國. 學. has international operations or not. Controls is the category that includes bank’s characteristics which are described in the Section 4.1.3.ε is the usual error term.. ‧. Considering the model may have lagged independent variables, so we measured. Nat. sit. y. our risk variables over k years from t-k+1 to t and independent variables are. n. al. er. io. measured in the year t-k to attenuate the lagged effect. We use k=3 in our analysis.. i n U. v. The following Table 5.2 is our regression result. We regress Z-score on. Ch. engchi. international dummy and bank’s control variables.. Table 5.2: Internationalization and Bank Risk: Main Regression Analysis This table reports regression estimates of the relation between the internationalization of China commercial banks and their risk using Z-score (3 years) as the dependent variable. The main internationalization measure is the International Dummy (Inter). We report in the table our main model, OLS with time fixed effects and clustering by bank (main model) for the full sample. Table 4.1 shows definitions for all variables. Robust t-statistics are in parentheses. ***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively.. - 25 -.

(26) Dependent Variable: Z-score Independent Variables: Full Sample Inter. -9.397**. InDiv. 3.471. Size. 14.452***. QM. -0.558***. BLR. 6.849. Big5. 1.721*. JS. 6.293*. Constant. 9.170. Observations. 327. R-squared. 0.1358. 立. 政治大. We can clearly observe that international activities will lead banks in China with. ‧ 國. 學. higher risks. The coefficient on international dummy is negative and statistically significant at the 5% level. From the “Overseas Strategy of Chinese Banking. ‧. Industry” research conducted by the CBRC, there are several possible reasons for. y. Nat. io. sit. this result.First, more internationalization will lead banks to be exposed more of. n. al. er. macroeconomic volatility. After global financial crisis, China has played an. i n U. v. increasingly important role in funding other economies. However, European debt. Ch. engchi. crisis lasted for a period of time and it was just solved a few years ago; furthermore, geopolitical concern continues in the region such as Russia and Middle East that many China corporations operate in and this will let Chinese banks have lower quality of offshore loans making them more risky. Second, diversified as well as strict supervision law in different markets make it harder for Chinese banks to adjust, costing more to adopt a new business strategy successfully. Third, during the merger and acquisition process, which Chinese banks usually adopted, it’s difficult for Chinese banks to evaluate merged target’s financial stability due to information asymmetry and overseas M&A prefer cash transactions, which may put Chinese - 26 -.

(27) banks facing larger liquidity risk. As a result, by using our regression model, we conclude that internationalization of China banks will lead them into a riskier environment than those who remain domestic operation. Moreover, our regression result also indicates that smaller size as well as lower management quality will leadbanks into a riskier status. Third, we observe that different structure of Chinese banks will result in different level of risk. From our regression, we learn that Bigfive banks, or state-owned banks, have the highest risk level while city commercial banks has the lowest risk. In Table 5.3, Bigfive banks. 政治大 quality of management. Comparing to Bigfive banks, city commercial banks 立. have the characteristics such as high internationalization, large size and better. possess lower level of internationalization, smaller size as well as worse quality of. ‧ 國. 學. management. Although Bigfive banks equip larger size and better quality of. ‧. management than joint stock banks and city commercial banks, Bigfive banks still. sit. y. Nat. suffer from higher level of risk due to higher internationalization comparing to. io. er. others. To sum up, we confirm that internationalization is an important factor that drives Chinese banks into a riskier status even if they possess large bank size and. al. n. v i n better quality of management,C which is not enough to h e n g c h i Umitigate the risks.. Table 5.3: Comparison between different bank structure (Bigfive, Joint Stock, City Commercial banks) Table 5.3 reports differences in Z-score by bank structure. We report both difference in means and medians between the characteristics of Big5, joint stock and city commercial banks. Table 4.1 shows definitions for all variables. Big5. Joint Stock. City Commercial. Mean 12.24. Median 8. Mean 14.66. Median 9.46. Mean 42.42. Median 19.59. 1. 1. 0.61. 1. 0.08. 1. Size. 6.32. 6.38. 5.36. 5.64. 4.29. 4.2. Quality of Management. 34.05. 33.17. 34.51. 34.15. 37.11. 35.53. Z-score International Dummy. Observations. 25. 28 - 27 -. 274.

(28) 5.3 Region analysis From our regression analysis above, we conclude that internationalization will increase the risk of Chinese banks. A further question is raised, will different expanding regions of international banks result in different level of risk? According to each bank’s official statements, we observe that each bank may have different focus market. For example, Industrial and Commercial Bank of China (ICBC), Bank of China and most joint stock commercial banks have international branches. 政治大 its key locationin the South Africa and Agricultural Bank of China puts emphasis 立. in Asia(ex. Hong Kong, Macau, Singapore…), while China Construction Bank has. on Europe (ex. London, Germany…) and Bank of Communication focuses on the. ‧ 國. 學. North America (ex. U.S). Due to opacity of bank data on absolute statistics at each. ‧. location in each year, we use the bank’s key operating location as a proxy. sit. y. Nat. representing the only overseas region of that bank and we take the average of. io. er. Z-scores in each year of those banks whose key location remainsthe same. Results are demonstrated in Figure 5.1.. n. al. Ch. engchi. i n U. v. Figure 5.1: Different risk level in respective region between 2009-2013 Figure 5.1 shows the potential risk in each region, respectively. Given that Z-score is calculated using data over the previous 12 quarters, the sample period depicted ranges from 2009 to 2013.. - 28 -.

(29) U.S.A South Africa Asia. Europe. 政治大 According to the figure above, region U.S has the highest Z-score, or the lowest 立. risk over 2009 to 2013. Second, Europe region possess the highest risk if Chinese. ‧ 國. 學. banks choose it as the overseas expansion location during 2009 to 2012. We. ‧. consider this is reasonable since Europe has suffered from the Europe Debt Crisis. y. Nat. from 2009； the overall economic situation as well as the individual country all. er. io. sit. went through a prolonged deteriorating market condition. However, Europe’s crisis seems to calm down recently and we can observe such a trend from the figure above. al. n. v i n C h Third, Asia seems that the Z-score is moving upward. to be the region possesses the engchi U highest risk level. Asia is an emerging market comparing with those developed. countries, the region’s economic situation is influenced not only by developed countries but also by idiosyncratic events. Although Asia has maintained significant growth and attractsChinese banks to expand offshore business, it also create more risk for banks due to possible economic volatilities. To sum up, the U.S is the least risky region for Chinese banks to develop overseas business. Asia is the riskiest location and South Africa as well as Europe have medium risk for expanding. Finally, regardless the pessimistic inference from the above discussion, Figure 5.1still indicates that through the experience of overseas expansion and a better - 29 -.

(30) ability to cope with local economic volatility, the regional risk is on a downward trend, which may be a good sign for Chinese banks to expand internationally in the future.. 6 Robustness tests 6.1 Alternative measures of risk In Table 6.1, the results of alternative risk measures demonstrate the robustness of the previous conclusion.. 立. 政治大. ‧. ‧ 國. 學. n. er. io. sit. y. Nat. al. Ch. engchi. i n U. v. Table 6.1: Regression Analysis with Alternative Measures of Risk This table reports OLS regression estimates of the relation between the internationalization of China commercial banks and their risk using International Dummy (Inter) as a measure of bank internationalization. We show models with alternative risk measures: Log of Z-score (over prior 3 years), Sharpe Ratio (over prior 3 years). Table 4.1 shows definitions for all variables. Robust t-statistics are reported in parentheses.***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively. - 30 -.

(31) Dependent Variables: Alternative Measure of Risk Z-score. Log of Z-score. Sharpe Ratio. Inter. -9.397**. -0.110*. -10.907*. InDiv. 3.471232155. 0.074618488. -2.931. Size. 14.452***. 0.3***. 18.263***. QM. -0.558***. -0.017***. -0.308**. BLR. 6.849. 0.180547142. 2.519. Big5. 1.721*. 0.215***. 1.187***. JS. 6.293*. 0.41*. 3.241*. Constant. 9.170. 0.521. 5.331. Observations. 327. R-squared. 0.1358. 立. 327 治政0.2492 大 0.1814 327. We first replace the original Z-score withlog value over the last three years as. ‧ 國. 學. the dependent variable. The advantage is that we can mitigate the impact of outliners. Next, we use the Sharpe Ratio as another alternative for bank risks. In. ‧. each regression, we observe that International Dummy is statistically significant at. y. Nat. n. al. 6.2 Endogeneity. Ch. engchi. er. io. internationalization is associated with higher bank risk.. sit. the 5%, 10% and 10%, respectively. As a result, we reaffirm that. i n U. v. We further conduct several tests for possibleendogeneity of our international dummy, which may bias our result. There may exist some variables which we didn’t include in our regressions but might influence internationalization and bank risk simultaneously. We therefore, for example, add the growth rate of bank assets (Asset Growth) and the growth rate of loans (Loan growth) in the regression since fast-growing and slow-growing banks maycause different level of returns and risks. The following Table 6.2 is the regression result of testing endogeneity circumstances. From the Table 6.2, we can observe the same result as above, which - 31 -.

(32) is that internationalization will lead Chinese banks with higher risk, even if we include endogeneity variables, such as asset growth and loan growth.. Table 6.2: Testing Endogeneity This table reports OLS regression estimates of the relation between the internationalization of China commercial banks and their risk using International Dummy (Inter) as a measure of bank internationalization. We show several models with additional possible omitted variables that could influence the risk of banks: Assets Growth and Loan Growth. Table 4.1 shows definitions for all variables. Robust t-statistics are reported in parentheses.***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively. Dependent Variable: Z-score Main. 立. InDiv. BLR JS. 15.82***. 15.45***. -0.56***. -0.59***. 6.85. 7.302. 7.352. 1.72*. 8.547*. 8.05*. 6.29*. 10.13*. 10.99*. -0.046. -0.02. -0.60***. sit. Nat. Asset Growth Loan Growth. R-squared. al. n. Observations. -0.09. 9.170. 13.23. i n C0.1358 0.144 hengch i U 327. 327. 20.01. er. io. Constant. 1.31. ‧. Big5. 14.45***. -16.27**. 學. QM. ‧ 國. Size. Loan Growth. y. Inter. Asset Growth 治政 -9.397** -16.17** 大 3.47 1.554. v. 327 0.145. 7 Conclusions The impact of internationalization on bank’s risks of Chinese banks becomes significant since Chinese firms are employing the “going out “ policy to expand its overseas business. We find robust evident that the more internationalized the bank, - 32 -.

(33) the higher the risk. Furthermore, we also conduct several different measures of risk and control for potential endogeneity. All our data suggest that internationalization of Chinese banks will lead to higher risk. Besides, after we coming to this conclusion, we also try to figure out that whether different expanding regions may induce different level of risk that a bank need to take. We find that Asia is the riskiest region while U.S is the least risky location. Asia is the emerging market and it’s easily influenced by the macroeconomic and developed countries. Therefore, we think that the potential. 政治大 However, no matter what region a bank chooses, all banks seem to equip with 立. uncertainties are the reasons why Asia becomes the region with the highest risk.. capabilities to absorb risk and mitigate it.. ‧ 國. 學. Chinese banks are encouraged to operate internationally by China’s central. ‧. government as well as ample opportunitiesdue to the “going out” policy of Chinese. sit. y. Nat. firms. Our conclusions offer directions for China’s commercial banks to expand. io. er. their international business. For example, we know that internationalization will lead banks into a riskier position despite their sizes and quality of management, but. al. n. v i n C hcreate different riskUlevels. different location expansion may engchi. Future studies can focus on different types of expansions that Chinese. commercial banks often adopt (ex. representative office, branches and subsidiaries) to study their differences and relationships between risk and internationalization. Since Chinese commercial banks have large amount of undisclosed data, future studies should put efforts on searching proxies for targeted variables.. Reference 1. Altman, E., (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance Vol. 23, No. 4, p.589-609. - 33 -.

(34) 2. Berger, A., Bouwman, C., Kick, T., Schaeck, K., (2012). Bank risk taking and liquidity creation following regulatory interventions and capital support. Working paper of University of South Carolina. 3. Berger, A., (2013). Internationalization and bank risk. University of South Carolina, Columbia. 4. Boyd, J., De Nicoló G (2005). The theory of bank risk-taking and competition revisited. Journal of Finance, Vol. 60, No. 3, p. 1329-1343. 5. Beltratti, A., Stulz, R., (2012). The credit crisis around the globe: Why did some. 政治大 Cocheo, S., (2000). Performance picture: avoiding efficiency as a religion., ABA 立. banks perform better? Journal of Financial Economics 105, p.1-17. 6.. Banking Journal, Vol. 92 No. 2, p. 58-9.. ‧ 國. 學. 7. Committee on the Global Financial System (2010): Long-term issues in. ‧. international banking. CGFS Papers No.41.. y. Nat. 8. Demirgüç-Kunt, A., Huizinga, H., (2010). Bank activity and funding strategies:. er. io. sit. The impact on risk and returns. Journal of Financial Economics 98, p.626-650. 9. DeYoung, R., Roland, K., (2001). Product mix and earnings volatility at. al. n. v i n C hfrom a degree of total commercial banks: Evidence leverage model. Journal of engchi U Financial Intermediation, 10(1), p.54-84.. 10. European Central Bank (2008): EU banking structures. 11. Rebecca, D., Philip, S., (1995). Diversification, size and risk at bank holding companies. Federal Reserve Bank of New York Research Paper No. 9506 12. Franco, F., David, M., Phil M., (2010). Efficiency and risk in European banking, ECB Working Paper No. 1211. 13. Gong, L., Bo, W., Yali, P., (2011). Can Chinese companies win in the global big leagues? Journal of High-Performance Business, Accenture Report No.3.. - 34 -.

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(36) 26. Gulamhussena, M., Pinheirob, C., Pozzolo, A., (2014). International diversification and risk of multinational banks: Evidence from the pre-crisis period, Journal of Finance, p30-43. 27. Brammer, N., (2011). Internationalization of Chinese and Indian banks: patterns and strategies”.Graduation Paper, University of Vienna. 28. Nikolaos, I., Christian, C., (2010). Leverage and risk in US commercial banking in the light of the current financial crisis.Luxembourg School of Finance Research Working Paper No.10-12.. 政治大 International Business Studies, 7(2), p75–80. 立. 29. Rugman, M., (1976). Risk reduction by international diversification. Journal of. 30. Rebecca, S., Philip, E., (1995). Diversification, size and risk at bank at bank. ‧ 國. 學. holding companies. Federal Reserve Bank of New York Research Paper. ‧. No.9506.. y. Nat. 31. Teresa, M., Dolores, M., (2005). Risk tasking behaviour and ownership in the. er. io. 60(4), p.332-354.. sit. banking industry: the Spanish evidence, Journal of Economics and Business,. al. n. v i n C hand efficiency in developing 32. Sameh, C., (2013). Bank size countries: engchi U intermediation approach versus value added approach and impact of. non-traditional activities. Asian Economic and Financial Review, 3(5), p.593-613. 33. Yang, S., Liao, S., (2006). Trend of bank internationalization and the international strategies for China’s banking industry. Journal of Henan Institute of Financial Management, 22(1), p.11-13. 34. Stiroh, K., Rumble, A., (2006). The dark side of diversification: The case of US financial holding companies. Journal of Banking & Finance, 30(8), p2131-2161. - 36 -.

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(38) Appendix Table 4.1: Definitions and Summary Statistics This table presents variables definitions and reports summary statistics for the full samples of China commercial banks used in the analysis. Variable. Definition. 政治大. Mean. Median. Std. A bank -level measure of financial risk calculated as (Average(ROA) + Average(Capital Ratio))/Stdv. ROA. The larger the value, the lower of overall bank risk.Averages of ROA and Capital Ratio as well as the standard deviation of ROA are computed over the previous 3 year, this being our main specification.. 16.57. 10.12. 28.04. Log of Z-score (3 years). The log of Z-score over the previous 3 years in order to mitigate the impact of outliners.. 0.99. 1.01. 0.41. Sharpe Ratio. The risk-adjusted return on equity defined as ROE/ Stdv. ROE.. 14.8. 8.06. 24.03. 0.2. 0. 0.41. 0.233. 0.22. 0.31. 4.53. 4.28. 0.75. 34.7. 34.13. 7.33. 7.64. 7.4. 2.76. Risk Variables. International Variables. 學. International dummy. 立. ‧ 國. Z-score (3 years). A dummy variable that takes a value of 1 if the bank has overseas branches or exposures, and 0 otherwise.. ‧. Main Bank Characteristics. A measure of testing the diversification of bank's income from different sources, which is calculated as 1-|(Net Interest Income – Other Operating Income)/ Total Operating Income|. Source: Laeven and Levine (2007). Size. The log of total assets.. Quality of Management. It is defined as non-interest expense divided by the sum of net interest income and non-interest income.This measure is generally considered an important benchmark for examining the operating efficiency or quality of management. Source: Cocheo (2000). Bank Leverage Ratio. It is calculated as equity divided by liabilities. It reflects the bank's usage of money and it will affect a bank's profitability as well as the ability to survive through surpring crisis.. Bigfive. It characterized China's unique banking structure. Bigfive banks in China are five state-owned banks.It's a dummy variable that takes a value of 1 for one of a Bigfive banks, and 0 otherwise.. 0.08. 0. 0.27. Joint Stock. It characterized China's unique banking structure. Joint stock banks in China are categorized by CBRC.It's a dummy variable that takes a value of 1 for one of a joint stock banks , and 0 otherwise.. 0.08. 0. 0.28. City Commercial. It characterized China's unique banking structure.There are numerous city commercial banks in rural areas to serve local household and companies in China.It's a dummy variable that takes value 1 when both Bigfive and Joint Stock variables are value 0.. n. al. er. io. sit. y. Nat. Income Diversification. Ch. engchi U. v i n. Other Variables Asset growth. The growth rate of bank asset.. 27.43. 23.18. 18.11. Loan growth. The growth rate of bank total loans.. 22.93. 20.72. 12.49.

(39) Table 4.2: Correlation among key regression variables Table 4.2 shows the correlation between key variables we used in this paper. *** indicates significance at the 1% level. Inter. Size. 1. Size QM. 0.28***. 0.514***. BLR. 0.017. Big5. 0.265*** -0.047. -0.053. 1. 0.099. 0.023. 0.038. -0.102. -0.138***. 0.02. 0.02. 1. 0.472***. 0.486***. -0.026. 0.19***. -0.055. 1. 0.337. 0.101. 0.125. -0.0611. -0.088. Nat. JS. 0.039. 0.309. io. n. al. JS. 1. y. 0.026. Big5. 1. ‧. InDiv. BLR. 政治大. sit. -0.162***. 立. ‧ 國. 1 0.143***. InDiv. 學. Z-SCORE Inter. QM. er. Z-SCORE. Ch. engchi U. v i n. 1.

(40) Table 5.1.1: Univariate analysis of Internationalization and Bank Risk This table reports univariate comparison tests for international banks versus purely domestic banks. Table 5.1.1 reports results for the full sample. Table 5.1.2 reports differences in Z-score by bank size. We report both difference in means and medians between the characteristics of international and domestic banks. Table 4.1 shows definitions for all variables. Domestic Banks N. Mean. Z-score. 66. 14.5644. 9.1492. 261. 24.5471. 12.6066. Log Z. 66. 0.9519. 0.9614. 261. 1.1532. 1.1006. Sharpe Ratio. 66. 12.9205. 6.8759. 261. 13.5192. 6.9243. InDiv. 66. 0.2949. 0.3863. 261. 0.2174. 0.1839. Size. 66. 5.6419. 5.7497. 261. 4.2550. 4.1908. QM. 66. 34.5618. 34.1002. 261. 35.9803. 35.9600. BLR. 66. 0.1146. 0.1188. 261. 0.1720. 0.1450. Big5. 66. 0.3788. 0.0000. 261. 0.0000. 0.0000. JS. 66. 0.2576. 0.0000. 261. 0.0421. 0.0000. io. n. al. er. ‧ 國. 立. Median. Table 5.2: Risk (Z-score) by Different Sizes of Bank International MEAN MEDIAN N. y. Median. ‧. Mean. 學. N. Nat. 政治大. Variables. sit. International Banks. Ch. engchi U. Domestic MEAN MEDIAN. Bank Size. N. Small. 9. 4.09. 4.1. 199. 4.26. 4.3. Medium. 15. 4.75. 4.77. 58. 5.28. 5.28. Large. 42. 5.28. 5.3. 4. 6.08. 6.09. v i n.

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