证券公司规模经济实证研究——基于DEA和超越对数成本函数法

Empirical study on scale economy of securities companies:based on methods of DEA and translog cost function

在阐述证券公司规模经济背景的前提下,探索证券公司最优规模经济问题,进而研究其最优规模值。采用数据包络分析方法验证证券公司是否存在规模经济,并使用超越对数成本函数法获得证券公司的最优规模值。这是一种参数法和非参数法相结合的方式,有利于对证券公司规模经济进行全面而准确的实证研究。实证分析结果认为,证券公司是存在规模经济的,并且其总资产值约为100亿元时规模经济系数约为1,此时证券公司达到最优规模。

Based on demonstrating the background of scale economy of securities companies, the issues of optimal scale economy of securities companies are explored, and the optimal scale value is studied. The method of data envelopment analysis （DEA） is applied to validate the existence of scale economy, and optimal scale value of securities companies is acquired by applying the method of translog cost function. The method is a combination of parametric and non-parametric methods, which is conducive to the overall and accurate empirical study on the scale economy of securities companies. The results of empirical analysis show that there exists scale economy of securities companies, and when the total asset value of a company is about CNY 10 billion, the coefficient of scale economy is about 1. Optimal size of securities companies will be reached at that point.