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題名 綜合證券商經營績效分析-三階段資料包絡分析法之應用
A study of integrated securities firms’ efficiency in Taiwan-An application of three-stage data envelopment analysis
作者 黃士哲
貢獻者 王國樑
黃士哲
關鍵詞 三階段資料包絡分析法
綜合券商
經營效率
three-stage DEA
日期 2009
上傳時間 5-Sep-2013 14:18:20 (UTC+8)
摘要 本文根據2002年至2008年的各綜合券商財報資料，採用三階段資料包絡分析法，評估綜合券商之經營效率分析，研究的對象包含台灣金控體系下十四家綜合券商和上市櫃十一家綜合券商證券公司（非金控體系）共25家綜合券商。實證結果如下：第一階段廠商無效率之主要來源為純技術無效率與第三階段之部分，估計之結果不同，綜合券商經營管理無效率的情形相當嚴重，綜合券商純技術效率平均值為0.955，規模效率平均值為0.769，代表受評綜合券商經營上產生無效率之來源為生產規模之無效率，假若不考慮外在因素之衝擊則會低估純技術效率值，將造成廠商無效率來源之誤判，本文利用Wilcoxon符號等級檢定(Wilcoxon signed rank test)檢驗第一階段與第三階段效率值，顯示在1%的顯著水準下，第一階段與第三階段 DEA 估計之技術效率值、純技術效率值及規模效率值確實存在顯著差異；SFA迴歸評估結果顯示，營運據點數、董事規模、董監事股權質押比率對勞動投入差額呈顯著正向關係，2008金融風暴、業務集中度、業務風險、發放員工分紅對勞動投入差額呈顯著負向關係；營運據點數、業務集中度、業務風險、董事規模、董監事股權質押比率對資本投入差額呈顯著正向關係，2008金融風暴及發放員工紅利，對資本投入差額呈顯著負向關係；2008金融風暴、業務風險、發放員工紅利、董事規模、董監事股權質押比率對其他費用投入差額呈顯著正向關係，營運據點數、業務集中度，對其他費用投入差額呈顯著負向關係。
參考文獻 王國樑、翁志強、張美玲(1998)，「臺灣綜合券商技術效率探討」，證券市場發展季刊，第10卷第2期，93-116。
張凱渟(2008)，「台灣地區有線電視系統業者經營效率分析-三階段法之應用」，政治大學經濟研究所碩士論文
張雅雯(2004)，「臺灣綜合券商之成本效率與生產力分析」，台北大學經濟學研究所碩士論文
楊家豪(2008)，「臺灣證券業經營效率之探討」，政治大學行政管理碩士學程碩士論文
劉雲霞(1996)，「臺灣證券商經營狀況之探討-資料包絡分析法的運用」政治大學會計研究所碩士論文
歐陽如虹(2002)，「臺灣證券商經營效率分析」，銘傳大學國際企業管理研究所碩士論文
薛月對(2009)，「台灣會計師事務所效率之探討-三階段資料包絡分析法之應用」，政治大學行政管理所碩士論文


Afriat, S.N. (1972), “Efficiency Estimation of Production Functions,” International Economic Review, Vol.13, 568-598.
Ahn, T. and L. M. Seiford(1992), “Sensitivity of DEA to Models and Variable Sets in a Hypothesis Test Setting：The Efficiency of University Operations,” in Creative and Innovative Approaches to the Science of Management, Edited by Ijiri, Quorum, New York.
Banco, J.（1973）, “ Corporate Directorship Practice: Member and Committees of the Board, ” The Conference Board, New York.
Banker, R. D., A. Charnes and W. W. Cooper (1984), “Some Model for Estimation Technical and Scale Inefficiencies in Data Envelopment Analysis,” Management Science, Vol.30, No.9, 1087-1092.
Baumol, W. J., J. C. Panzar and R. D. Willig（1982）, “Contestable Markets and the Theory of Industry Structure, ” Harcourt Brace Jovanovich, New York.
Black, K.（1977）, “Business Statistic: Contemporary Decision Making, ” 2nd Edition, West Publishing Company, NewYork.
Boles, J.N. (1966), “Efficiency Squared – Efficiency Computation of Efficiency Indexes,” Proceedings of the 39th Annual Meeting of the Western Farm Economics Association, 137-142.
Brickley, J. A., C. W. Smith and J. L. Zimmerman（2001）,“Managerial Economics and Organizational Architecture,” 3rd ed., McGraw Hill.
Brickley, J. A., C. W. Smith and J. L. Zimmerman（2007）,“Managerial Economics and Organizational Architecture,” 4rd Edition, McGraw Hill. New York.
Buzzo Margari, B., F. Erbetta, C. Petraglia and M. Piacenza（2007）,“Regulatory and Environmental Effects on Public Transit Efficiency: A Mixed DEA-SFA Approach,” Journal of Regulatory Economics, 32, 131-151.
Charnes, A., W. W. Cooper and E. Rhodes (1978), “Measurement of Efficiency of Decision Making Units,” European Journal of Operational Research, Vol.2, No.6, 429-444.
Claessens, S., S. Djankov, and L. Lang (2000), “The separation of ownership and control in East Asia corporations,” Journal of Financial Economics, 58, 81-112
Coelli, T., D.S. Prasada Rao and G.E. Battese (1998), “An Introduction to Efficiency and Productivity Analysis, ” Kluwer Academic Publishers, The Netherlands
Eaton, B. C. and D. F. Eaton（1995）, “ Microeconomics, ” Englewood Cliffs, Prentice Hall ,New Jersey
Eisenberg, T., S. Sundgren, and M. Wells, (1998), “Larger Board Size and Decreasing Firm Value in Small Firms,” Journal of Financial Economics, 48, 35-54.
Färe, R., S. Grosskopf and C. A. K. Lovell (1985), “The Measurement of Efficiency of Produciton, ” Kluwer-Nijhoff Publishing, Boston.
Färe, R., S. Grosskopf, C.A.K. Lovell and S. Yaisawarng (1993),“Derivation of Shadow Prices for Undesirable Outputs: A Distance Function Approach,” Review of Economics and Statistics, 75, 374-380.
Farrell, M. J. (1957), “The Measurement of Productive Efficiency”, Journal of the Royal Statistical Society, Series A, Vol.120, No.3,pp.253-281.
Fishe R.,Goldberg L.,Gosnell,T. and Sina,S. (1991), “Margin re-quirements in future Markets. Their relationship to price volatility, ” The Journal of Future Markets,10(5),pp.541-554.
Fried, H. O., S. S. Schmidt and S. Yaisawarng（1999）,“Incorporating the Operating Environment into a Nonparametric Measure of Technical Efficiency,” Journal of Productivity Analysis, 12, 249-267.
Fried,H. O., C. A.K. Lovell, S. S. Schmidt and S. Yaisawarng(2002), “Accounting for Environmental Effects and Statistical Noise in Data Envelopment Analysis,” Journal of Producitivity Analysis, 17(1/2) ,157-174.
Fukuyama, H. and L. Weber (1999), “The Efficiency and Produtivity of Japanes Securiities Firms,1988-93,” Japan and the World Economy, Vol.11,115-133.
Greene, W. H. (1981) ,“On the Asymptotic Bias of the Ordinary Least Squares Estimator of the Tobit Model,” Econometrica, 49,505-513.
Huang, M.Y.,T.T. Fu and Y.T. Liao(2006), “The Efficiency and Productivity of Taiwanese Securities Firms after the Asian Fianancial Crisis,” Working paper.
Jensen, M. C.（1993）,“The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems,” Journal of Finance, 48, 831-880.
Kozo, H. and O. Eiji(2006), “The Changing Structure of Cost for Japanese Securities Firms,” International Journal of Business, 11,17-33.
Shephard, R.W. (1970), “Theory of Cost and Production Functions, ” Princeton University Press, Princeton
Waldman, D. E. and E. J. Jensen (1998), Industrial Organization：Theory and Practice, Addison-Wesley Longman. Inc., Reading Massachusetts.
Wang, K. L., Y. T. Tseng and C. C. Weng (2003), “A Study of Production Efficiencies of Integrated Securities Firms in Taiwan,” Applied Financial Economics, Vol.13, 159-167.
Yermack, D. (1996), “Higher market valuation for firms with a small board of directors.” Journal of Financial Economics, 40, pp. 185-211.
Zhang, W. D., S. Zhang, and X. Luo (2006), “Technological Progress,Inefficiency and Productivity Growth in the US Securities Industry, 1980-2000,” Journal of Business Research, 59, 589-594.
描述 碩士
國立政治大學
經濟學系
95258012
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095258012
資料類型 thesis
dc.contributor.advisor 王國樑zh_TW
dc.contributor.author (Authors) 黃士哲zh_TW
dc.creator (作者) 黃士哲zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 5-Sep-2013 14:18:20 (UTC+8)-
dc.date.available 5-Sep-2013 14:18:20 (UTC+8)-
dc.date.issued (上傳時間) 5-Sep-2013 14:18:20 (UTC+8)-
dc.identifier (Other Identifiers) G0095258012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60323-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 95258012zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 本文根據2002年至2008年的各綜合券商財報資料，採用三階段資料包絡分析法，評估綜合券商之經營效率分析，研究的對象包含台灣金控體系下十四家綜合券商和上市櫃十一家綜合券商證券公司（非金控體系）共25家綜合券商。實證結果如下：第一階段廠商無效率之主要來源為純技術無效率與第三階段之部分，估計之結果不同，綜合券商經營管理無效率的情形相當嚴重，綜合券商純技術效率平均值為0.955，規模效率平均值為0.769，代表受評綜合券商經營上產生無效率之來源為生產規模之無效率，假若不考慮外在因素之衝擊則會低估純技術效率值，將造成廠商無效率來源之誤判，本文利用Wilcoxon符號等級檢定(Wilcoxon signed rank test)檢驗第一階段與第三階段效率值，顯示在1%的顯著水準下，第一階段與第三階段 DEA 估計之技術效率值、純技術效率值及規模效率值確實存在顯著差異；SFA迴歸評估結果顯示，營運據點數、董事規模、董監事股權質押比率對勞動投入差額呈顯著正向關係，2008金融風暴、業務集中度、業務風險、發放員工分紅對勞動投入差額呈顯著負向關係；營運據點數、業務集中度、業務風險、董事規模、董監事股權質押比率對資本投入差額呈顯著正向關係，2008金融風暴及發放員工紅利，對資本投入差額呈顯著負向關係；2008金融風暴、業務風險、發放員工紅利、董事規模、董監事股權質押比率對其他費用投入差額呈顯著正向關係，營運據點數、業務集中度，對其他費用投入差額呈顯著負向關係。zh_TW
dc.description.tableofcontents 中文摘要 I
誌謝 II
目錄 III
表目錄 IV
圖目錄 V
第一章 緒論 1
第一節 研究動機 1
第二節 研究內容 3
第三節 研究範圍 3
第四節 研究流程與架構 4
第二章 文獻回顧 6
第一節 台灣證券業之發展與現況 6
第二節 台灣證券商市場經營型態 11
第三節 DEA相關論文 13
第三章 研究設計 25
第一節 研究方法 25
第二節 資料敘述與變數說明 31
第四章 實證結果與分析 39
第一節 各變數敘述統計說明 39
第二節 DEA效率評估結果分析 41
第三節 投入差額調整分析 43
第四節 調整後之DEA效率評估結果分析 47
第五節 金控與上市櫃公司之效率分析 49
第五章 結論與建議 50
參考文獻 53		zh_TW
dc.format.extent 692487 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095258012en_US
dc.subject (關鍵詞) 三階段資料包絡分析法zh_TW
dc.subject (關鍵詞) 綜合券商zh_TW
dc.subject (關鍵詞) 經營效率zh_TW
dc.subject (關鍵詞) three-stage DEAen_US
dc.title (題名) 綜合證券商經營績效分析-三階段資料包絡分析法之應用zh_TW
dc.title (題名) A study of integrated securities firms’ efficiency in Taiwan-An application of three-stage data envelopment analysisen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 王國樑、翁志強、張美玲(1998)，「臺灣綜合券商技術效率探討」，證券市場發展季刊，第10卷第2期，93-116。
張凱渟(2008)，「台灣地區有線電視系統業者經營效率分析-三階段法之應用」，政治大學經濟研究所碩士論文
張雅雯(2004)，「臺灣綜合券商之成本效率與生產力分析」，台北大學經濟學研究所碩士論文
楊家豪(2008)，「臺灣證券業經營效率之探討」，政治大學行政管理碩士學程碩士論文
劉雲霞(1996)，「臺灣證券商經營狀況之探討-資料包絡分析法的運用」政治大學會計研究所碩士論文
歐陽如虹(2002)，「臺灣證券商經營效率分析」，銘傳大學國際企業管理研究所碩士論文
薛月對(2009)，「台灣會計師事務所效率之探討-三階段資料包絡分析法之應用」，政治大學行政管理所碩士論文


Afriat, S.N. (1972), “Efficiency Estimation of Production Functions,” International Economic Review, Vol.13, 568-598.
Ahn, T. and L. M. Seiford(1992), “Sensitivity of DEA to Models and Variable Sets in a Hypothesis Test Setting：The Efficiency of University Operations,” in Creative and Innovative Approaches to the Science of Management, Edited by Ijiri, Quorum, New York.
Banco, J.（1973）, “ Corporate Directorship Practice: Member and Committees of the Board, ” The Conference Board, New York.
Banker, R. D., A. Charnes and W. W. Cooper (1984), “Some Model for Estimation Technical and Scale Inefficiencies in Data Envelopment Analysis,” Management Science, Vol.30, No.9, 1087-1092.
Baumol, W. J., J. C. Panzar and R. D. Willig（1982）, “Contestable Markets and the Theory of Industry Structure, ” Harcourt Brace Jovanovich, New York.
Black, K.（1977）, “Business Statistic: Contemporary Decision Making, ” 2nd Edition, West Publishing Company, NewYork.
Boles, J.N. (1966), “Efficiency Squared – Efficiency Computation of Efficiency Indexes,” Proceedings of the 39th Annual Meeting of the Western Farm Economics Association, 137-142.
Brickley, J. A., C. W. Smith and J. L. Zimmerman（2001）,“Managerial Economics and Organizational Architecture,” 3rd ed., McGraw Hill.
Brickley, J. A., C. W. Smith and J. L. Zimmerman（2007）,“Managerial Economics and Organizational Architecture,” 4rd Edition, McGraw Hill. New York.
Buzzo Margari, B., F. Erbetta, C. Petraglia and M. Piacenza（2007）,“Regulatory and Environmental Effects on Public Transit Efficiency: A Mixed DEA-SFA Approach,” Journal of Regulatory Economics, 32, 131-151.
Charnes, A., W. W. Cooper and E. Rhodes (1978), “Measurement of Efficiency of Decision Making Units,” European Journal of Operational Research, Vol.2, No.6, 429-444.
Claessens, S., S. Djankov, and L. Lang (2000), “The separation of ownership and control in East Asia corporations,” Journal of Financial Economics, 58, 81-112
Coelli, T., D.S. Prasada Rao and G.E. Battese (1998), “An Introduction to Efficiency and Productivity Analysis, ” Kluwer Academic Publishers, The Netherlands
Eaton, B. C. and D. F. Eaton（1995）, “ Microeconomics, ” Englewood Cliffs, Prentice Hall ,New Jersey
Eisenberg, T., S. Sundgren, and M. Wells, (1998), “Larger Board Size and Decreasing Firm Value in Small Firms,” Journal of Financial Economics, 48, 35-54.
Färe, R., S. Grosskopf and C. A. K. Lovell (1985), “The Measurement of Efficiency of Produciton, ” Kluwer-Nijhoff Publishing, Boston.
Färe, R., S. Grosskopf, C.A.K. Lovell and S. Yaisawarng (1993),“Derivation of Shadow Prices for Undesirable Outputs: A Distance Function Approach,” Review of Economics and Statistics, 75, 374-380.
Farrell, M. J. (1957), “The Measurement of Productive Efficiency”, Journal of the Royal Statistical Society, Series A, Vol.120, No.3,pp.253-281.
Fishe R.,Goldberg L.,Gosnell,T. and Sina,S. (1991), “Margin re-quirements in future Markets. Their relationship to price volatility, ” The Journal of Future Markets,10(5),pp.541-554.
Fried, H. O., S. S. Schmidt and S. Yaisawarng（1999）,“Incorporating the Operating Environment into a Nonparametric Measure of Technical Efficiency,” Journal of Productivity Analysis, 12, 249-267.
Fried,H. O., C. A.K. Lovell, S. S. Schmidt and S. Yaisawarng(2002), “Accounting for Environmental Effects and Statistical Noise in Data Envelopment Analysis,” Journal of Producitivity Analysis, 17(1/2) ,157-174.
Fukuyama, H. and L. Weber (1999), “The Efficiency and Produtivity of Japanes Securiities Firms,1988-93,” Japan and the World Economy, Vol.11,115-133.
Greene, W. H. (1981) ,“On the Asymptotic Bias of the Ordinary Least Squares Estimator of the Tobit Model,” Econometrica, 49,505-513.
Huang, M.Y.,T.T. Fu and Y.T. Liao(2006), “The Efficiency and Productivity of Taiwanese Securities Firms after the Asian Fianancial Crisis,” Working paper.
Jensen, M. C.（1993）,“The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems,” Journal of Finance, 48, 831-880.
Kozo, H. and O. Eiji(2006), “The Changing Structure of Cost for Japanese Securities Firms,” International Journal of Business, 11,17-33.
Shephard, R.W. (1970), “Theory of Cost and Production Functions, ” Princeton University Press, Princeton
Waldman, D. E. and E. J. Jensen (1998), Industrial Organization：Theory and Practice, Addison-Wesley Longman. Inc., Reading Massachusetts.
Wang, K. L., Y. T. Tseng and C. C. Weng (2003), “A Study of Production Efficiencies of Integrated Securities Firms in Taiwan,” Applied Financial Economics, Vol.13, 159-167.
Yermack, D. (1996), “Higher market valuation for firms with a small board of directors.” Journal of Financial Economics, 40, pp. 185-211.
Zhang, W. D., S. Zhang, and X. Luo (2006), “Technological Progress,Inefficiency and Productivity Growth in the US Securities Industry, 1980-2000,” Journal of Business Research, 59, 589-594.		zh_TW