基于改进三阶段DEA的我国证券公司经营效率实证分析

发布时间：2018-05-23 11:08

本文选题：改进三阶段DEA模型 + 证券公司经营效率　；参考：《北京工商大学》2015年硕士论文

【摘要】：自1987年第一家证券公司成立以来,我国证券业已走过二十八年的发展历程,随着上市公司股权分置改革、证券公司综合治理等多项基础性制度改革工作的基本完成,创业板、融资融券、股指期货交易和新股发行体制改革等一系列创新改革相继推出,标志着我国证券业经过逐步发展,己经进入到了快速发展阶段。然而,尽管我国证券行业迎来了发展的黄金时期,但同时也面临着产业升级和转型的巨大挑战。证券公司普遍存在诸如同质化竞争、收入结构不合理等问题并受到金融混业和国际化趋势的冲击,其未来的竞争环境将更为复杂而激烈。因此,分析我国证券公司经营效率的不足,提高其经营效率,提升其竞争力是目前我国证券业亟需解决的一个问题。本文基于Fried等(2002)提出的三阶段DEA模型,借鉴马占新等(2013)提出的面板DEA方法,构建三阶段DEA方法的优化模型——改进三阶段DEA模型对2011-2013年我国53家证券公司的经营效率进行了实证分析。研究发现,环境因素对证券公司经营效率的影响显著。剔除环境因素和随机误差后,我国证券公司经营效率显著下降,这表明传统DEA方法存在对证券公司经营效率的高估,环境因素对证券公司总体影响为正:公司规模的扩大、资本结构中负债比重的提高和业务结构中传统业务比重的加大能够增加投入冗余,降低经营效率,而股权高度集中、成立年限较长和成功上市能够减少投入冗余,提高经营效率;规模效率是同质环境下证券公司经营无效的主要原因。对于证券公司经营的无效率,本文在剔除环境因素和随机误差前认为管理和技术的影响更为明显,即纯技术无效在综合无效率中占主导地位。在剔除环境因素和随机误差之后,本文发现规模无效率是导致综合效率偏低的原因,表明各家证券公司在劳动力与资本投入规模上有所欠缺,规模效率是影响总体效率的主要因素;资本流动性促进证券公司经营效率的提高。剔除环境因素与随机误差前后,A类证券公司经营效率优于B类,B类证券公司经营效率优于C类,这说明证券公司经营效率的高低与证监会以净资本为核心的风险监管指标体系的评级结果基本一致,证监会分类监管规定的评级标准总体上是科学的、合理的、公正的。这表明资产流动性良好的证券公司经营效率较高,而资产流动性较差的证券公司经营效率较低。针对以上实证分析,本文提出以下几点建议:第一,完善资本规模,走规模化经营道路;第二,改善经营模式、提高业务创新能力;第三,适当放松监管力度,优化证券行业监管环境。
[Abstract]:Since the establishment of the first securities company in 1987, the securities industry in our country has gone through a period of 28 years. With the completion of many basic system reforms, such as the split share structure reform of listed companies and the comprehensive management of securities companies, the gem, A series of innovative reforms, such as margin financing, stock index futures trading and new stock issuance system reform, have been launched one after another, which indicates that the securities industry of our country has entered the stage of rapid development after gradual development. However, although China's securities industry has ushered in a golden period of development, it also faces a huge challenge of industrial upgrading and transformation. There are many problems such as homogeneous competition, unreasonable income structure and the impact of financial mix and international trend, so the future competition environment of securities companies will be more complex and fierce. Therefore, it is an urgent problem for the securities industry in our country to analyze the shortcomings of the operation efficiency of our securities companies, improve their operating efficiency and enhance their competitiveness. Based on the three-stage DEA model proposed by Fried et al. 2002) and the panel DEA method proposed by Ma Zhanxin et al. An improved three-stage DEA model is constructed to analyze the operating efficiency of 53 securities companies in China from 2011 to 2013. The study found that environmental factors have a significant impact on the operating efficiency of securities companies. After excluding the environmental factors and random errors, the operating efficiency of securities companies in China is significantly decreased, which indicates that the traditional DEA method overstates the operating efficiency of securities companies, and the overall impact of environmental factors on the securities companies is positive: the expansion of the scale of the securities companies. The increase of debt ratio in capital structure and the increase of traditional business proportion in business structure can increase the redundancy of investment and reduce the operating efficiency, while the high concentration of equity, the long established life and the successful listing can reduce the redundancy of investment. The scale efficiency is the main reason for the ineffectiveness of the securities company under the homogeneous environment. For the inefficient operation of securities companies, this paper considers that the influence of management and technology is more obvious before removing the environmental factors and random errors, that is, pure technical inefficiency dominates the comprehensive inefficiency. After discounting environmental factors and random errors, this paper finds that scale inefficiency is the cause of low overall efficiency, which indicates that the scale of labor and capital investment of various securities companies is deficient. Scale efficiency is the main factor affecting overall efficiency, and capital liquidity promotes the improvement of operation efficiency of securities companies. Before and after removing environmental factors and random errors, the operating efficiency of class A securities companies is better than that of category B securities companies, and the operating efficiency of class B securities companies is better than that of category C. This shows that the operating efficiency of the securities companies is basically consistent with the rating results of the risk supervision index system with the net capital as the core, and the rating standards stipulated by the Securities Regulatory Commission are generally scientific, reasonable and fair. This indicates that the securities companies with good asset liquidity have higher operating efficiency, while the securities companies with less asset liquidity are less efficient. Based on the above empirical analysis, this paper puts forward the following suggestions: first, to improve the scale of capital, to take the road of large-scale management; second, to improve the business model and enhance the ability of business innovation; third, to relax the supervision, Optimize the regulatory environment of the securities industry.
【学位授予单位】：北京工商大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.39

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