台灣證券商分項投入效率之研究：隨機邊界分析之應用

Abstract

本文利用隨機邊界分析法(SFA)來計算出台灣證券公司的效率表現，資料期間為2005年至2011年，共七年，總共收集57間證券公司資料。研究方法我們使用一階段的隨機邊界分析法來估計環境變數對個別投入要素之效率值的影響。本研究的產出變數為證券公司之經紀收入、承銷收入和自營收入的總合，投入變數包含股東權益、營業費用、員工人數和總固定資產。本研究結果顯示，股東權益和總固定資產的平均使用效率較差，因此即需改善。而在證券公司的特性當中，上市上櫃的證券公司相較於未公開發行的證券公司而言，其在股東權益和勞動的使用效率較差，然而在總固定資產的使用效率較好。金控證券商相較於非金控證券商而言，其在股東權益和勞動的使用上也是效率較差，但在總固定資產的使用效率較好。而資本適足率對股東權益的使用效率有正面的影響，但對勞動和總固定資產的使用效率則是產生負面的影響。公司年限對於股東權益的使用效率上有負面的影響。

In this paper, we apply the stochastic frontier analysis (SFA) to compute the efficiency of securities firms in Taiwan. The panel data set contains a total of 57 securities firms during 2005-2011. A one-stage stochastic frontier analysis is used to estimate the influences of environmental variables on the disaggregate inputs used by securities firms in Taiwan. The output variable in this research is the sum of brokerage revenue, underwriting revenue and proprietary revenue and the input variables are stakeholder equity, operational expenses, labor employment, and total fixed assets. Empirical results show that stakeholder equity and total fixed assets have low input efficiency scores which need to improve a lot. Compared to unpublished securities firms, listed securities firms have worse performance in using stakeholder equity and labor employment but have better performance in using total fixed assets. Compared to securities firms under financial holding companies (FHC), those who are not under a financial holding company have better performance in using stakeholder equity and labor employment but have worse performance in using total fixed assets. The risk-based capital has a positive effect on the efficiency of stakeholder equity. The age of a security firm has a negative effect on the usage efficiency of stakeholder equity.