基于DEA的我国上市证券公司效率研究

发布时间：2019-02-11 17:44

【摘要】：我国证券公司经历了二十多年的快速发展,为我国资本市场的快速发展发挥了关键的作用。但是与发达国家的投资银行相比,我国上市证券公司的在资本规模、经营管理水平以及金融创新能力方面均存在较大的差距,综合经营效率水平仍有较大的提升空间。本文选取了国内19家A股上市证券公司作为研究样本,以资产总额,营业费用和注册资本金为输入向量,将营业收入,净利润,净营业收入中的的代理买卖证券产生的收益,证券承销的投资收益和净投资收益为输出向量,以数据包络分析理论为研究基础,对国内A股上市的所有证券公司的总体运营效率和各个业务板块的效率分别进行考察,得出了各个指标的技术效率、纯技术效率和规模效率值得大小,并将得到的效率进行排序和对比分析,通过对比研究从而对上市证券公司的效率进行一个较为全面的评价,得出上述各项指标的静态效率后,进一步运用Malmquist指数法对动态条件下的效率变化加以研究分析。静态分析表明我国19家上市证券公司2010年和2012年的总体经营的技术效率、纯技术效率和规模效率明显高于2011年对应的各项效率,2010年和2012年19家上市证券公司关于股东报酬和经纪业务及自营业务方面的技术效率、纯技术效率和规模效率也高于2011年对应的各项效率,在样本期内19家上市证券公司投资银行业务方面的各项效率处于极低的水平；动态分析技术效率Malmquist指数显示19家A股上市证券公司有关股东投资收益率的技术效率、纯技术效率和规模效率在2010-2011年期间呈下行趋势；2011-2012年期间这19家上市证券公司的技术效率、纯技术效率和规模效率都表现出了上升的走势。总体而言,我国上市证券公司的经营效率处于相对比较高的水平,但依旧存在较大的改进和提升空间。
[Abstract]:China's securities companies have experienced more than 20 years of rapid development, which has played a key role in the rapid development of China's capital market. However, compared with the investment banks in developed countries, there is a big gap in the capital scale, management level and financial innovation ability of listed securities companies in our country, and there is still much room for improvement in the level of comprehensive management efficiency. In this paper, 19 domestic A-share listed securities companies are selected as research samples, taking total assets, operating expenses and registered capital as input vectors, the income generated by proxy trading of securities in operating income, net profit and net operating income is taken as input vector. Based on the theory of data Envelopment Analysis, the overall operating efficiency of all domestic A-share listed securities companies and the efficiency of each business sector are investigated respectively by using the investment income and net investment income of underwriting securities as output vectors. The technical efficiency, pure technical efficiency and scale efficiency of each index are worth, and the efficiency of listed securities companies is evaluated through comparative study. After getting the static efficiency of the above indexes, the Malmquist exponent method is used to study and analyze the change of efficiency under dynamic conditions. The static analysis shows that the technical efficiency, pure technical efficiency and scale efficiency of the 19 listed securities companies in 2010 and 2012 are obviously higher than those in 2011. The technical efficiency, pure technical efficiency and scale efficiency of the 19 listed securities companies in 2010 and 2012 in terms of shareholder compensation and brokerage and proprietary business were also higher than the corresponding efficiencies in 2011, In the sample period of 19 listed securities companies investment banking efficiency in the very low level; Dynamic analysis of technical efficiency Malmquist index shows the technical efficiency of 19 A-share listed securities companies, pure technical efficiency and scale efficiency show a downward trend in 2010-2011; The technical efficiency, pure technical efficiency and scale efficiency of the 19 listed securities companies showed an upward trend in 2011-2012. Overall, the operating efficiency of listed securities companies in China is relatively high, but there is still great room for improvement and improvement.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.39

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