台灣專營期貨商市場結構、效率與獲利率之探討

Market Structure, Efficiency and Profitability of Taiwan’s Futures Commission Merchants

本文透過檢驗市場力量與效率結構假說來探討台灣專營期貨商獲利率的影響因素。利用2002至2004年台灣專營期貨商資料，首先採用三階段資料包絡分析法評估純技術效率，並以純技術效率作為解釋變數之ㄧ，探討影響專營期貨商獲利率的因素。實證結果顯示，以三階段資料包絡分析法評估純技術效率確有其必要性；若以資產報酬率為獲利率衡量指標，迴歸結果支持效率結構假說；若以淨值報酬率為獲利率衡量指標，則支持相對市場力量與效率結構假說；經營規模、錯帳率與具證券商背景對專營期貨商獲利率有正向影響；業務集中度、加入金控體系與台股期貨指數對專營期貨商獲利率則有負向影響。

This paper attempts to investigate the determinants of profitability of Taiwan’s futures commission merchants by testing the market power and the efficient structure hypotheses. Based on the data of Taiwan’s futures commission merchants during the period of 2002-2004, the pure technical efficiency of futures commission merchants in Taiwan is assessed by utilizing the 3-stage DEA, and included as an independent variable of the profitability equation. The pure technical efficiency evaluation results justify the necessity of adopting the 3-stage DEA. The regression results of the profitability equation based on the return on assets support the efficiency structure hypothesis while those based on the return on equity are consistent with both the relative market power and the efficient structure hypotheses. In addition, operating scale, the out trade loss to total revenues ratio and the background of securities industry have positive impacts on profitability. A firm’s service concentration, futures commission merchants under financial holding companies and the index of TAIEX futures have negative impacts on profitability.