证券公司自营绩效评价与分类监管规则的有效性

An Empirical Study of Securities Companies' Proprietary Trading Performance and the Effectiveness of Rules of Classification Regulation

本文使用DEA模型,对中国39家证券公司2003-2006年自营业务绩效和证券行业分类监管规则有效性进行了实证研究。结果显示,弱市中创新类券商的自营绩效不如规范类券商,原因在于市场投资机会缺乏和券商应变能力不足,同时创新类券商在过度等资上存在失误。常规监管阶段证券公司分类监管规则的有效性比综合治理阶段大大提高,但仍需从弱化净资本指标、强化盈利性指标两方面进行改进。鉴于过度筹资是券商的普遍问题,监管者应根据市场状况调整监管措施,弱市中限制各类券商的负债规模。

The paper used DEA model to research the business performance of China 39 securities companies＇ proprietary trading and the validity of classification supervision roles. The empirical results show that innovative companies perform poorer than the normative companies in bear market, probably due to lacking of investment opportunities and inadequacy of their resilience. The excessive fmancing of the innovative securities companies is inappropriate as well. In conventional monitoring stage, the validity of rules of classification regulation enhanced over that in comprehensive management stage. But the roles still require improvement in two aspects： weakening net capital indicators and strengthening profitability indicators. Given that the excessive financing is a common problem of securities firms, the regulator should adjust regulatory measures according to market conditions, to restrict the size of the liabilities of various brokerage firms in bear market.