本文探討金融合併對風險傳染的影響，以台灣金融控股公司( 以下簡稱金控) 與銀行為例，運用Diebold and Yilmaz (2009) 的方法，衡量風險外溢效果，比較金控之間與銀行之間，在不同「風險分散度」與「機構複雜度」之下的風險傳染效果。結果發現：一、金控之間的風險傳染大於銀行之間的風險傳染。二、機構複雜度對風險傳染的影響大於風險分散對風險傳染的影響。三、金控對股價指數風險外溢效果大於銀行對股價指數風險外溢效果。四、金控之間的風險傳染，隨著落後期數增加而先增後減，以落後2 期的影響效果最大。
銀行之間的風險傳染，則隨著落後期數增加而逐期遞減，以落後1 期的影響效果最大。整合上述結果可知：金控之間的風險傳染較大，效果持續性較強，而且較容易引發系統風險。

This paper evaluates the impact of financial consolidation on the risk contagion. We use the method of Diebold and Yilmaz (2009) to measure the risk contagion of financial holding companies and other banks in
Taiwan. Simultaneously, we also examine the effects on risk contagion of the degree of diversification and institution complexity. The key findings are as follows: 1. the risk contagion in financial holding companies is larger than the risk contagion in other banks; 2. the institution complexity has larger influence on risk contagion than the degree of diversification; 3. the financial holding company has larger spillover effects on stock index than other banks; 4. the risk contagion in financial holding companies increases when risk starts at the beginning period and then decreases in later periods, and the risk contagion is the largest when the lag period
is equal to 2; the risk contagion in other banks decreases when the lag period increases. Therefore, we conclude
that financial consolidations will increase the risk contagion. The risk contagion in financial holding companies
is larger, more persistent and more easily to introduce systemic risk than other banks..