零和限制下探討證券商經營效率之研究

Abstract

台灣證券市場因政府鼓勵金融控股公司成立而競爭更趨激烈，金控公司提供了全方位之金融服務：包括銀行、證券與保險等業務。目前文獻中，研究金控母公司對於其證券子公司效率之影響的相關實證研究甚少，缺乏個別證券公司的資料造成了實證研究的困難，更遑論研究金控對於其證券子公司之管理效率的影響。目前傳統之資料包絡分析模式從事的研究，並未考慮在總和產出有限制情況下（如證券商之短期目標為爭奪市占率，但市占率之總和為100%）作經營效率之評估，其所衡量的經營效率值有低估的現象。因此，本研究以2001年至2005年台灣綜合券商為觀察對象，所有變數經由GDP平減指數轉成以2001年為基期的實質變數，以去除物價變動的影響，以探討在零和限制下券商經營效率之研究，實證研究顯示：外資券商的所有權對經營效率呈現顯著正向影響，二階段最小平方法（The two-stage least squares procedure）確認了市占率與經營效率之聯立關係。 接著再利用Fried 等人於 1999年發展的四階段資料包絡分析模式（Four-stage data envelopment analysis）評估台灣綜合券商之管理效率。實證研究顯示：在主管機關主導下所成立之金控公司對於其證券子公司之管理效率是有顯著之不良影響；顯示台灣在法令誘導成立下的金控公司，並非是有效率之綜合券商與銀行合組金控；成立年限愈久的券商相對其效率亦愈高；整體而言，成立金控後的確對券商市場造成威脅與改善整體的證券商經營效率。

Taiwan’s government has been actively promoting financial holding companies (FHCs), which offer various services including banking, securities and insurances. The issue of whether or not the FHC system can effectively improve a securities firms’ managerial efficiency is still not empirically studied. The lack of firm-level data has made research on securities firms (SFs) very difficult and rare to see, not to mention the effects of FHC on their managerial efficiency. Current studies that use traditional data envelopment analysis (DEA) neglect the 100% market share restriction. This study adopts zero-sum gains data envelopment analysis (ZSG-DEA) to measure the efficiency scores of SFs and indicates that the traditional DEA model underestimates the efficiency scores of inefficient SFs. This research analyses 266 integrated securities firms (ISFs) in Taiwan from 2001 to 2005 and employs three inputs (fixed assets, financial capital, and general expenses) and a single output (market share). All nominal variables are transformed by GDP deflator with 2001 as the base year. The foreign-affiliated ownership of SFs positively affects the efficiency scores. The two-stage least squares procedure (2SLS) confirms that the market share and efficiency score simultaneously reinforce each other. The four-stage DEA proposed by Fried et al. (1999) is then further applied. The securities subsidiaries under the law-induced FHCs are not the efficient ISFs in Taiwan. An FHC has a significantly negative effect on the managerial efficiency of an ISF. A higher duration of an ISF also significantly improves its efficiency score. Meanwhile, forming FHCs imposes a threat and creates the incentives for efficiency increasing in the securities industry.