券商竞争与风险承担

Competition and Risk-taking of Securities Companies

本文基于2007—2018年77家券商非平衡面板数据,通过估计超越对数成本(利润)函数构造反映券商市场势力效率调整后的Lerner指数,并以破产风险指标Zscore度量券商风险承担,实证检验了券商竞争对风险承担的影响。研究结论显示,竞争压力增大会显著提高券商风险承担水平,支持了“竞争脆弱”假说。进一步分析发现:券商竞争会通过提高券商杠杆水平、降低券商盈利能力和加大券商盈利波动而加剧券商风险承担;对于规模较小、业务多元化程度较低的券商,竞争对风险承担的加剧作用更为显著。本文研究丰富了金融机构竞争与风险关系的文献,对监管部门引导券商合理竞争、防范券商风险具有启示意义。

This paper empirically examines the effect of competition on risk-taking of securities companies based on the unbalanced panel data of 77 securities companies from 2007 to 2018.This paper constructs the efficiency-adjusted Lerner index that reflects the market power of securities companies by estimating the translog cost(profit)function,and measure the risk-taking of securities companies by the commonly used insolvency risk indicator Zscore.The results show that:competition significantly increases risk-taking of securities companies,supporting the“competition-fragility”hypothesis.Further analysis finds that:competition increases securities companies'risk-taking by increasing their leverage,reducing their profitability and increasing their profit volatility;for smaller securities companies with low business diversification,competition has a more significant effect on their risk-taking.This paper enriches the research on the relationship between competition and risk in financial institutions,and is instructive for regulators to guide securities companies to compete rationally and prevent risks in securities companies.