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Análise da performance do sector bancário português no período de 2005 a 2011
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Resumo(s)
A presente investigação pretende estudar as variáveis associadas às especificidades das instituições financeiras (determinantes internos), do sector financeiro e macroeconómicas (determinantes externos) e analisar o seu impacto na performance do sector bancário português, no período entre 2005 e 2011. A performance bancária é avaliada pela taxa de rendibilidade do activo (ROA) e pela taxa de rendibilidade do capital próprio (ROE). Os determinantes internos seleccionados foram o capital, os custos operacionais, a liquidez, o risco de crédito, a diversificação e a dimensão dos bancos e como determinantes externos foram escolhidos o PIB, a inflação, a taxa de desemprego e a concentração de mercado. Este estudo aplicou um modelo de regressão com dados de painel de efeitos fixos, com recurso a uma amostra que inclui 126 observações de 18 bancos portugueses, num horizonte temporal de 7 anos. Os resultados demonstraram que, as variáveis que apresentaram maior poder explicativo sobre o ROAA (rendibilidade do activo médio), foram os custos operacionais, a liquidez e risco de crédito, o PIB e a Inflação. Quanto ao ROAE (rendibilidade do capital médio), as variáveis com maior significância estatística, foram o capital, os custos operacionais, a liquidez. A variável PIB apresentou com um nível de significância de 10% e a Inflação não revelou significância estatística. A variável concentração, revelou significância estatística e efeito positivo sobre a performance, no ROAA e ROAE, existindo evidência para apoiar a teoria Structure-Conduct-Performance (SCP).
This research aims to study the variables associated to specific financial institutions (internal determinants), the financial sector and macroeconomic (external determinants) and analyze their impact on the performance of the Portuguese banking sector, in the period between 2005 and 2011. The bank performance is measured through Return On Assets (ROA) and Return On Equity (ROE). The internal factors tested are the bank's capital, costs, liquidity, asset quality, size and activity diversification. The external factors considered are GDP, inflation, and unemployment and market concentration. This study applied a regression model with panel data fixed effects, using a sample that includes 126 observations of 18 Portuguese banks, during 7 years. The results showed that the variables with the highest explanatory power on the ROAA (Return On Average Assets), were operational costs, liquidity, credit risk, GDP and Inflation. For the ROAE ( Return On Average Equity), the variables with greater significance, were the capital, operating costs and liquidity. The variables GDP and Inflation suggested weak significance. The variable concentration had a positive effect on performance, either in the variable ROAA and ROAE, so there is evidence to support the Structure-Conduct-Performance (SCP) theory.
This research aims to study the variables associated to specific financial institutions (internal determinants), the financial sector and macroeconomic (external determinants) and analyze their impact on the performance of the Portuguese banking sector, in the period between 2005 and 2011. The bank performance is measured through Return On Assets (ROA) and Return On Equity (ROE). The internal factors tested are the bank's capital, costs, liquidity, asset quality, size and activity diversification. The external factors considered are GDP, inflation, and unemployment and market concentration. This study applied a regression model with panel data fixed effects, using a sample that includes 126 observations of 18 Portuguese banks, during 7 years. The results showed that the variables with the highest explanatory power on the ROAA (Return On Average Assets), were operational costs, liquidity, credit risk, GDP and Inflation. For the ROAE ( Return On Average Equity), the variables with greater significance, were the capital, operating costs and liquidity. The variables GDP and Inflation suggested weak significance. The variable concentration had a positive effect on performance, either in the variable ROAA and ROAE, so there is evidence to support the Structure-Conduct-Performance (SCP) theory.
Descrição
Mestrado em Finanças
Palavras-chave
determinantes da performance ROA ROE dados de painel determinants of performance panel data
Contexto Educativo
Citação
Tavares, Ana Sofia Clemente Pires Coito Sousa (2013). "Análise da performance do sector bancário português no período de 2005 a 2011". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão