經環境效果與統計噪音調整後的兩岸證券商經營效率之比較研究

Abstract

本研究利用Fried et al. (2002) 所提出的三階段資料包絡分析法分析2006年至2009年台灣地區18家及大陸地區38家證券業經環境因素調整前後之經營效率。我們採用股東權益與營業費用為投入變數，並以經營業務收入、承銷業務收入、自營業務收益作為產出變數，兩岸資料均轉換為以2006年為基期的實質變數。第一階段使用原始的投入及產出，以資料包絡分析法分析兩岸證券業的經營效率與投入差額變數；第二階段使用隨機邊界法估計成立年限、資產總額、負債比率、交易金額、經濟自由度、人均所得、財務槓桿比率和證券交易稅等外生變數對各項投入差額變數的顯著性分析，並分離環境因素及隨機干擾的影響，接著再進行投入項調整；第三階段使用調整後的投入項資料，再次以資料包絡分析法估算效率。研究結果發現：成立年限、負債比率、交易金額、財務槓桿比率、證券交易稅均與股東權益差額變數及營業費用差額變數具有顯著的負向影響，而資產總額與股東權益差額變數及營業費用差額變數均呈現顯著的正向影響，經濟自由度則是與股東權益差額變數具顯著的正向影響而對營業費用差額變數呈現顯著的負向影響，相反的人均所得則是與股東權益差額變數呈現顯著的負向影響而與營業費用差額變數具有顯著的正向影響。而經過環境因素與隨機干擾的調整後，兩岸證券業的效率皆有顯著的提升，表示目前兩岸證券業仍然受到環境因素極大的影響，在往後更競爭的市場中，如果積極改善這些問題將能擁有更好的效率。

This thesis applies a three-stage data envelopment analysis (DEA) approach proposed by Fried et al. (2002), in order to analyze the operational efficiency of 56 nationwide security firms across the Taiwan Strait (18 in Taiwan and 38 in mainland China) from 2006 to 2009. Stockholders' equity and operating expenses are the two input variables, while brokerage handling fee revenue, underwriting business revenue, profit from sale of securities are the three outputs. All nominal variables are transformed into real variables by GDP deflators using 2006 as the base year. In the first stage, the DEA with original input and output is used to compute the operational efficiency and input slacks. In the second stage, the stochastic frontier regression model to estimate if the exogenous variables have significant effects on the input slack variables. The environmental factors, and statistical influences are decomposed. All the inputs are adjusted based on slacks. In the third stage, the adjusted inputs are used to run DEA as first stage again. Our major empirical findings are as follows: The period since establishment, liabilities ratio, trading amounts, financial leverage ratio, securities transactions tax have significantly negative effects on slacks of stockholders' equity and operating expenses. The total assets have a significantly positive effect on the slack of stockholders' equity and operating expenses. The Index of Economic Freedom has a significantly positive effect on slacks of stockholders' equity and has a significantly negative effect on slacks of operating expenses. The per capita income has a significantly negative effect on slacks of stockholders' equity and has a significantly positive effect on slacks of operating expenses. After environmental effects and statistical noises are adjusted, the operational efficiency of the security firms in both Taiwan and mainland China become significantly higher, implying that environmental variables do matter for security firms efficiency across the Taiwan Strait.