中国证券公司多元化战略的“阈值边界效应”研究

The Study on Threshold Boundary Effect of Diversification Strategy of Chinese Security Company

笔者综合运用"阈值效应模型"和"面板门限模型",对2007—2016年中国59家证券公司多元化战略与经营绩效之间的"阈值边界效应"关系进行考察。研究表明:中国证券公司的多元化水平与盈利能力之间在资产规模全域范围内并不存在单纯的"线性关系",而是具有显著的"异质性阈值效应"关系,这种"阈值效应"关系能够随着每家证券公司不同资产规模的变动而呈现出不同的形态轨迹。根据阈值和动态STD的测算结果,中国证券公司的多元化战略具体可呈现出四种不同状态。从中国证券公司多元化战略与抗风险能力之间的关系看,两者间具有显著的"阈值单重门限边界效应"关系,即当资产规模达到唯一的门限边界值时,多元化战略对抗风险能力的影响将发生结构性突变。根据上述研究结果,笔者认为:当前中小型券商实施多元化战略一方面可以提升其盈利能力,但另一方面也会降低其抗风险能力;大中型券商实行相对专业化经营,可以同时提高盈利能力和抗风险能力。

The paper comprehensively makes use of ＂threshold effect model＂and ＂panel threshold model＂to investigate the relationship between diversification strategy and operation performance of Chinese 59 security companies from 2007 to 2016. The research results show that there is no simple＂linear relationship＂between the diversification level and profitability of Chinese securities companies,but it has a significant ＂heterogeneity threshold effect＂relationship. This kind of ＂threshold effect＂relationship can show different morphological trajectories with asset size of each securities company. According to the measurement results of threshold and dynamic STD,the diversification strategy of security companies presents four different situations. However,there is a significant＂single threshold boundary effect＂in the relationship between diversification strategy and anti-risk ability. When the asset size reaches the threshold boundary value,the relationship between diversification and anti-risk ability of security companies will undergo a structural change. Based on the above results,The diversification of medium and small-sized security companies reduces their anti-risk ability while improving profitability. Relatively specialized operation of large and medium-sized security companies can improve their profitability and anti-risk ability.