基于随机边界分析的证券公司效率研究
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摘要
作为金融市场的重要参与机构,证券公司的健康成长关乎我国资本市场和国民经济发展的大事。在未来的竞争中,开放的环境必然要求我国证券公司更加关注企业自身的经营管理与效率,向先进的证券公司学习,发现缺陷,改进不足,以提高自身的综合竞争实力。鉴于证券公司的健康发展对于我国证券市场的发展、资本市场的发展乃至国民经济的发展有着不可替代的作用,本文将运用随机边界方法(SFA)对我国证券公司经营效率进行探讨分析,在测算其经营效率的结果基础上分析证券公司在经营上存在的不足,给出笔者的改进建议,希望能为我国证券公司经营效率的提高提供一点参考。
本文是以12家上市证券公司为研究对象,本文的总体研究思路是以Battese and Coelli(1995)提出的随机边界分析模型为基础,构建出证券公司的成本无效率评价模型和无效率因子评估模型,运用最大似然估计法,推估2002-2008年样本证券公司的成本无效率值,同时估计两个模型的系数值,根据实证结果对证券公司效率高低和各无效率影响因子进行量化和比较。本文经实证研究发现海通证券的经营效率在12家证券公司中处于最低,经营效率最优的三家证券公司是国泰君安证券,中信证券,齐鲁证券,齐鲁证券作为山东省唯一的综合型券商,经营效率良好。
本文证券公司的无效率因子进行了详细分析,发现证券公司的公司规模,股权集中度与证券公司的无效率呈现正相关关系,而与流动比率、本科以上员工所占比例呈负相关关系。同时还给出了提升证券公司效率的建议:改进和完善盈利模式;扩大融资渠道;推进资产管理业务创新;优化主营业务;吸引高素质人才,引入战略投资者。
As an important participant in the financial markets institutions, the healthy growth of securities is related to China's capital markets and national economic development event. In the future competition, a necessary requirement for an open environment is that China's securities companies pay more attention to the enterprise's own management and efficiency. In view of the healthy development of securities companies for the development of China's securities market、development of capital markets even the national economy, This paper will use the stochastic frontier approach (SFA) to explore and analysis the efficiency of China's securities companies. Based on the results of its operational efficiency, the author gives suggestions for improvement; provide some reference to hope to provide some reference to increase China's securities companies operating efficiency.
The research object of this study is the 12 listed securities company, this paper's idea is based on the general study of Battese and Coelli (1995) proposed stochastic frontier analysis to build a securities companies cost-evaluation model of inefficiency and inefficiency factor assessment model and use maximum likelihood estimation method, estimate that the cost of the sample securities firms inefficiency value in 2002-2008, estimate coefficients of the two models at the same time. It is quantified and compared according to empirical results on the inefficiency of securities companies and the inefficiency factors. This empirical study found that Haitong Securities’operating efficiency is the lowest of 12 securities. Optimal operational efficiency is the three securities companies:Guotai Junan Securities, CITIC Securities, Qilu Securities. As the only integrated brokerage, Qilu Securities operated efficiently.
The paper carried out a detailed analysis of the ineffectiveness factor of security companies and found that there is a positive correlation between the inefficiency and company size, equity concentration of securities firms, as while, there is negatively correlated with the current ratio, the proportion of undergraduate or more employees. It also gives recommendations to enhance the efficiency of securities firms:improve and perfect the profit model, expand financing channels, to promote asset management business innovation, optimize core business, to attract high-quality talent, the introduction of strategic investors.
本文是以12家上市证券公司为研究对象,本文的总体研究思路是以Battese and Coelli(1995)提出的随机边界分析模型为基础,构建出证券公司的成本无效率评价模型和无效率因子评估模型,运用最大似然估计法,推估2002-2008年样本证券公司的成本无效率值,同时估计两个模型的系数值,根据实证结果对证券公司效率高低和各无效率影响因子进行量化和比较。本文经实证研究发现海通证券的经营效率在12家证券公司中处于最低,经营效率最优的三家证券公司是国泰君安证券,中信证券,齐鲁证券,齐鲁证券作为山东省唯一的综合型券商,经营效率良好。
本文证券公司的无效率因子进行了详细分析,发现证券公司的公司规模,股权集中度与证券公司的无效率呈现正相关关系,而与流动比率、本科以上员工所占比例呈负相关关系。同时还给出了提升证券公司效率的建议:改进和完善盈利模式;扩大融资渠道;推进资产管理业务创新;优化主营业务;吸引高素质人才,引入战略投资者。
As an important participant in the financial markets institutions, the healthy growth of securities is related to China's capital markets and national economic development event. In the future competition, a necessary requirement for an open environment is that China's securities companies pay more attention to the enterprise's own management and efficiency. In view of the healthy development of securities companies for the development of China's securities market、development of capital markets even the national economy, This paper will use the stochastic frontier approach (SFA) to explore and analysis the efficiency of China's securities companies. Based on the results of its operational efficiency, the author gives suggestions for improvement; provide some reference to hope to provide some reference to increase China's securities companies operating efficiency.
The research object of this study is the 12 listed securities company, this paper's idea is based on the general study of Battese and Coelli (1995) proposed stochastic frontier analysis to build a securities companies cost-evaluation model of inefficiency and inefficiency factor assessment model and use maximum likelihood estimation method, estimate that the cost of the sample securities firms inefficiency value in 2002-2008, estimate coefficients of the two models at the same time. It is quantified and compared according to empirical results on the inefficiency of securities companies and the inefficiency factors. This empirical study found that Haitong Securities’operating efficiency is the lowest of 12 securities. Optimal operational efficiency is the three securities companies:Guotai Junan Securities, CITIC Securities, Qilu Securities. As the only integrated brokerage, Qilu Securities operated efficiently.
The paper carried out a detailed analysis of the ineffectiveness factor of security companies and found that there is a positive correlation between the inefficiency and company size, equity concentration of securities firms, as while, there is negatively correlated with the current ratio, the proportion of undergraduate or more employees. It also gives recommendations to enhance the efficiency of securities firms:improve and perfect the profit model, expand financing channels, to promote asset management business innovation, optimize core business, to attract high-quality talent, the introduction of strategic investors.
引文
[1]萨缪尔逊,诺德豪斯.经济学(第12版)[M].北京:中国发展出版社,1992
[2]陈共炎.证券公司治理机制与对策[M]北京:中国财政经济出版社,2005
[3]刘加.证券公司的核心竞争力[J].银行家,2003,(1)
[4]管仁勤.证券公司核心竞争力及其形成问题研究[J].经济经纬,2003,(1)
[5]谭显税.我国证券公司竞争力研究[J].南方经济,2002,(10)
[6]刘宗华,邹新月.中国商业银行的规模经济和范围经济—基于广义超越对数成本函数的检验[J].数量经济技术经济研究.2004(10):5-15
[7]张建华.我国商业银行效率研究的DEA方法及1997-2001年效率的实证分析[J].金融研究,2003,6(3):11-25
[8]王聪,邹朋飞.国有商业银行效率影响因素的实证分析[J].暨南学报:人文科学与社会科学版,2004,12(1):24-29
[9]陈敬学,别双枝.我国商业银行规模经济效率的实证分析及建议[J].金融论坛2004,8(10):46-51
[10]刘琛,宋蔚兰.基于SFA的中国商业银行效率研究[J].金融研究,2004,9(6):138-141.
[11]王宁,李植.数据包络分析法DEA在我国商业银行效率研究中的运用[J].当代经济管理,2006,28(1):67-72
[12]李春红,张冠龄,关永攀.我国境内中资银行与外资银行的成本效率比较分析[J].经济体制改革,2006,23(6):116-120
[13]张宗益,周勇,钱灿,赖德林.基于SFA模型的我国区域技术创新效率的实证研究[J].软科学,2006,20(2):125-128
[14]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究[J].数据统计与管理,2006,25(1):68-72
[15]黄学元,方伯荣,黄德存,蔡家辉.香港商业银行的成本效率[J].国际银行业,2007,29(5):13-17
[16]成思危.路线及关键:论中国商业银行的改革[M].北京:经济科学出版社,2006:156-157.
[17] Andrew Atheson, Robert E Lucas. JR. Efficiency and Equality in a simple Modle of Efficient Unemployment Insurance[J]. Journal of Economic, 1995(66): 66-68.
[18] Cobe noyan, A. S, Cooperman, E. S, Regisiter, C. A and Hudgins, S.C. The relative cost efficiency of stock versus mutual S&L:a stochastic cost frontier approach[J]. Journal of Financial services Research, 1990(7): 151-170
[19] Esho, N and Sharpe, I. G.X-efficiency of Australian permanent building societies[J]. The Economic Record Vol 71, 1996(6): 59-246
[21] Alexander Mertens, Giovanni Urga. Efficency, scale and scope economies in the Ukainianbanking sector in 1998[J]. Emerging Market Review, 2001(1): 292-308
[22] Aigner,D.J,C.A.K.Lovell and P.Schmidt.Formulation and estimation of stochastic frontier production function models[J].Journal of Econometrics,1977(6): 21-37
[23] Meeusen.W, J.van den Broeck.Efficiency Estimation and Estimation from Cobb-Douglas Production Functions with Composed Error[J].International
[24] E. Rodes. Measuring the Efficiency of Decision Making Units[J]. European Journal of Operational Research 1978(2)
[25] Henderson. J. V. Efficiency of Resource Usage and City Scale[J]. Journal of Urban Economics, 1986
[26] H. Richardson. Regional Economics[M]. Penguin Book Ltd, 1976
[27] A.Marshal.Principles of Economies[M].London Macmillan, 1921
[28] A. Young. Increasing Returns and Economic Progress[J]. Economic Journal,1928(12)
[29] B. Rajan, L. Zingales.Financial Dependence and Growth[J]. American Economic Review, 1998(88)
[30] W. Ethier.National and International Return to Scale Modern Theory of International Trade[J]. American Economic Review, 1982(72)
[31] Elhanan. Krugman.Market Structure and Foreign Trade[M]. Cambridge:MIT Press, 1997
[32] E. Rodes. Measuring the Efficiency of Decision Making Units[J]. European Journal of Operational Research 1978(2)
[33]黄薇.基于SFA方法对中国保险机构效率的实证研究[J].南开经济究,2006(5): 104-115
[34]何静,李村璞.基于SFA方法的中国保险公司技术效率实证分析[J].襄樊职业技术年报,2005(4): 60-62
[35]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究[J].数理统计和管理,2006(1): 69-72.
[36]张健华.我国商业银行效率研究的DEA方法以及1997-2001年效率实证分析[J].金融研究,2003(3): 50-54.
[37]王楠楠.基于SFA方法的我国商业银行效率研究[D].青岛:青岛大学,2005
[38]焦健.我国商业银行效率研究[D].沈阳:辽宁大学,2004
[39]高杰英.银行效率研究综述[J].经济学动态,2004(5): 50-100
[40] Charnes A ,Cooper W W ,Rodes E. Measuring the Efficiency of Decision Making Units [J]. European Journal of Operational Research,1978(2)
[41] Tim Coelli,D.S.Prasada Rao,George E. Battese. An Introduction to Efficiency andProductivity Analysis [M]. Boston: Kluwer Academic Publishers, 1997
[42]郭亚军.综合评价理论方法及应用[M].北京:科学出版社,2007
[43]赵旭,凌亢.国有银行效率决定因素实证分析[J].统计研究,2000(8): 12-17
[44]张健华.国外商业银行效率研究的最新进展及对我国的启示[J].国际金融研究,2003(5)
[45]刘志新,刘琛.基于DFA的中国商业银行效率研究[J]数量经济技术经济研究.2004(4): 42-45
[46]徐传谌,郑贵廷,齐树天.我国商业银行规模经济问题与金融改革策略透析[J].经济研究2002(10): 22-30
[47]杜莉,王锋,齐树天.我国商业银行规模经济及其状态比较[J].吉林大学社会科学学报.2003(1): 88-89
[2]陈共炎.证券公司治理机制与对策[M]北京:中国财政经济出版社,2005
[3]刘加.证券公司的核心竞争力[J].银行家,2003,(1)
[4]管仁勤.证券公司核心竞争力及其形成问题研究[J].经济经纬,2003,(1)
[5]谭显税.我国证券公司竞争力研究[J].南方经济,2002,(10)
[6]刘宗华,邹新月.中国商业银行的规模经济和范围经济—基于广义超越对数成本函数的检验[J].数量经济技术经济研究.2004(10):5-15
[7]张建华.我国商业银行效率研究的DEA方法及1997-2001年效率的实证分析[J].金融研究,2003,6(3):11-25
[8]王聪,邹朋飞.国有商业银行效率影响因素的实证分析[J].暨南学报:人文科学与社会科学版,2004,12(1):24-29
[9]陈敬学,别双枝.我国商业银行规模经济效率的实证分析及建议[J].金融论坛2004,8(10):46-51
[10]刘琛,宋蔚兰.基于SFA的中国商业银行效率研究[J].金融研究,2004,9(6):138-141.
[11]王宁,李植.数据包络分析法DEA在我国商业银行效率研究中的运用[J].当代经济管理,2006,28(1):67-72
[12]李春红,张冠龄,关永攀.我国境内中资银行与外资银行的成本效率比较分析[J].经济体制改革,2006,23(6):116-120
[13]张宗益,周勇,钱灿,赖德林.基于SFA模型的我国区域技术创新效率的实证研究[J].软科学,2006,20(2):125-128
[14]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究[J].数据统计与管理,2006,25(1):68-72
[15]黄学元,方伯荣,黄德存,蔡家辉.香港商业银行的成本效率[J].国际银行业,2007,29(5):13-17
[16]成思危.路线及关键:论中国商业银行的改革[M].北京:经济科学出版社,2006:156-157.
[17] Andrew Atheson, Robert E Lucas. JR. Efficiency and Equality in a simple Modle of Efficient Unemployment Insurance[J]. Journal of Economic, 1995(66): 66-68.
[18] Cobe noyan, A. S, Cooperman, E. S, Regisiter, C. A and Hudgins, S.C. The relative cost efficiency of stock versus mutual S&L:a stochastic cost frontier approach[J]. Journal of Financial services Research, 1990(7): 151-170
[19] Esho, N and Sharpe, I. G.X-efficiency of Australian permanent building societies[J]. The Economic Record Vol 71, 1996(6): 59-246
[21] Alexander Mertens, Giovanni Urga. Efficency, scale and scope economies in the Ukainianbanking sector in 1998[J]. Emerging Market Review, 2001(1): 292-308
[22] Aigner,D.J,C.A.K.Lovell and P.Schmidt.Formulation and estimation of stochastic frontier production function models[J].Journal of Econometrics,1977(6): 21-37
[23] Meeusen.W, J.van den Broeck.Efficiency Estimation and Estimation from Cobb-Douglas Production Functions with Composed Error[J].International
[24] E. Rodes. Measuring the Efficiency of Decision Making Units[J]. European Journal of Operational Research 1978(2)
[25] Henderson. J. V. Efficiency of Resource Usage and City Scale[J]. Journal of Urban Economics, 1986
[26] H. Richardson. Regional Economics[M]. Penguin Book Ltd, 1976
[27] A.Marshal.Principles of Economies[M].London Macmillan, 1921
[28] A. Young. Increasing Returns and Economic Progress[J]. Economic Journal,1928(12)
[29] B. Rajan, L. Zingales.Financial Dependence and Growth[J]. American Economic Review, 1998(88)
[30] W. Ethier.National and International Return to Scale Modern Theory of International Trade[J]. American Economic Review, 1982(72)
[31] Elhanan. Krugman.Market Structure and Foreign Trade[M]. Cambridge:MIT Press, 1997
[32] E. Rodes. Measuring the Efficiency of Decision Making Units[J]. European Journal of Operational Research 1978(2)
[33]黄薇.基于SFA方法对中国保险机构效率的实证研究[J].南开经济究,2006(5): 104-115
[34]何静,李村璞.基于SFA方法的中国保险公司技术效率实证分析[J].襄樊职业技术年报,2005(4): 60-62
[35]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究[J].数理统计和管理,2006(1): 69-72.
[36]张健华.我国商业银行效率研究的DEA方法以及1997-2001年效率实证分析[J].金融研究,2003(3): 50-54.
[37]王楠楠.基于SFA方法的我国商业银行效率研究[D].青岛:青岛大学,2005
[38]焦健.我国商业银行效率研究[D].沈阳:辽宁大学,2004
[39]高杰英.银行效率研究综述[J].经济学动态,2004(5): 50-100
[40] Charnes A ,Cooper W W ,Rodes E. Measuring the Efficiency of Decision Making Units [J]. European Journal of Operational Research,1978(2)
[41] Tim Coelli,D.S.Prasada Rao,George E. Battese. An Introduction to Efficiency andProductivity Analysis [M]. Boston: Kluwer Academic Publishers, 1997
[42]郭亚军.综合评价理论方法及应用[M].北京:科学出版社,2007
[43]赵旭,凌亢.国有银行效率决定因素实证分析[J].统计研究,2000(8): 12-17
[44]张健华.国外商业银行效率研究的最新进展及对我国的启示[J].国际金融研究,2003(5)
[45]刘志新,刘琛.基于DFA的中国商业银行效率研究[J]数量经济技术经济研究.2004(4): 42-45
[46]徐传谌,郑贵廷,齐树天.我国商业银行规模经济问题与金融改革策略透析[J].经济研究2002(10): 22-30
[47]杜莉,王锋,齐树天.我国商业银行规模经济及其状态比较[J].吉林大学社会科学学报.2003(1): 88-89
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