臺灣綜合證券商生產面與成本面Malmquist生產力變動之探討

Investigation on Cost Malmquist Productivity Changes for Securities Firms in Taiwan

鄭治中(Chih-Chung Cheng)

指導教授 ： 黃美瑛

國立臺北大學/社會科學學院/經濟學系/碩士(2012年)

摘要

本研究的主題為分析1999年至2009年台灣綜合證券商生產面以及成本面Malmquist生產力變動。第一階段利用資料包絡分析法進行技術效率以及成本效率分析，第二階段利用資料包絡分析法進行生產面以及成本面Malmquist生產力變動指數與其分解出的各項效率變動分析，最後利用Tobit迴規模型分析變動規模報酬假設下的成本效率、技術效率以及配置效率與各項影響效率因子間的關係。
成本面Malmquist生產力變動指數（CM）不同於生產面Malmquist生產力變動指數（IM）的分析，將配置效率變動以及價格效果也納入考量，讓我們能夠看到生產力變動的全貌。實證結果顯示，研究期間綜合證券產業的CM有2.5%的退步，進一步拆解CM，可以看出雖然IM有3.1%的退步，但由於配置效率呈現1%的成長，綜合證券商在要素組合的靈活配置上有進步，使得CM的衰退幅度較IM小；金融海嘯期間CM衰退了78.7%，進一步拆解CM，可以看出雖然IM產生86.7%的巨大衰退，但由於綜合證券商對要素組合的選擇更加謹慎，使得配置效率成長了3.5%，且產業的配置效率微幅提升，價格效果成長了0.8%，使得CM相對IM衰退幅度較小。IM是金控子公司的表現較好，但進一步分解CM可以發現非金控子公司的配置效率成長較大，在要素配置的彈性上非金控子公司反而擁有相對優勢，在要素組合選擇上的彈性以及靈活運用的能力非金控子公司高於金控子公司。
Tobit迴歸結果顯示，董事會席次對於成本效率、技術效率以及配置效率為顯著負向的影響，證券商能透過減少董事會成員，來降低協調成本提升經營績效；專業化程度對於成本效率、技術效率以及配置效率為顯著負向的影響，提供多元服務可以提升證券商的效率；公司規模對於成本效率、技術效率以及配置效率為顯著正向的影響，可見證券商仍然可以透過擴大規模來提升經營績效；董事持股率對於技術效率的影響為顯著正向，可以印證「利益收斂假說」；經理人持股率對於配置效率的影響為顯著負向，可以印證「利益掠奪假說」；大股東持股率對於技術效率的影響為顯著正向，外部的監督力量越大，證券商的經營績效越好。

關鍵字

Malmquist生產力指數,成本面Malmquist生產力指數,Tobit迴歸

並列摘要

This paper aims to investigate the productivity change of securities firms in Taiwan over the period 1999 to 2009. In the first stage, we use data envelopment analysis (DEA) method to measure the technical efficiency and cost efficiency of Taiwanese securities firms. In the second stage, we uses the input-oriented Malmquist productivity index (IM) and the dual cost Malmquist productivity index (CM) to investigate the productivity change of Taiwanese securities firms. In the final stage, we uses Tobit regression model to identify the determinants of efficiency under the variable returns to scale assumption.
The CM index accounts not only for technical efficiency and technological changes but also for allocative efficiency and for the effects of input price changes. The CM index can give a full picture of sources of productivity change. Empirical results show that between 1999 and 2009, the industry-wide IM were 1.031, indicating 3.1% deterioration in productivity in Taiwanese securities industry. However, the estimate for CM shows only 2.5% deterioration, which is mainly due to 1% improvement in allocative efficiency change, indicating Taiwanese securities firms on average perform better in allocating the input mix based on the prevailing input price. In the period of 2008 financial crisis, the industry-wide IM were 1.867, indicating 86.7% massive deterioration in productivity in Taiwanese securities industry. However, the estimate for CM shows only 78.7% deterioration, which is mainly due to 3.5% improvement in allocative efficiency change and 0.8% improvement in price effect, indicating that Taiwanese securities firms are more cautious about choosing the input mix. The IM index of the integrated securities with financial holding is relatively greater than those without financial holding. The CM index adds information conveyed by the IM index. Allocative efficiency change of the integrated securities under financial holding company (FHC) is relatively greater than those without joining FHC, indicating that the integrated securities without joining FHC are able to allocate its input much flexible.
The regression results show that the number of directors on the board has negative impact on cost efficiency, technical efficiency and allocative efficiency, which is indicating that securities firms can reduce the communication cost and improve performance by decreasing the number of directors on the board. Service concentration has negative impact on cost efficiency, technical efficiency and allocative efficiency, which is indicating that securities firms can improve performance by providing multi service. Firm size has positive impact on cost efficiency, technical efficiency and allocative efficiency, which is indicating that securities firms can improve performance by expanding. The percentage of equity owned by board has positive impact on technical efficiency, which is consistent with the convergence of interest hypothesis. The percentage of equity owned by the management has negative impact on allocative efficiency, which is consistent with conflict of interest hypothesis. The percentage of equity owned by the external block shareholders has positive impact on technical efficiency, which is indicating that securities firms can improve performance by reinforcing the external monitoring mechanism.

並列關鍵字

Malmquist productivity index,cost Malmquist productivity index,Tobit regression model

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