本文採用多元投入多元產出距離函數與一階段隨機邊界法分析 2004 年至2008 年台灣上市櫃證券商的經營管理效率， 並利用 Diewert (1976) 二次式恆等輔理，將Orea (2002) 的產出導向一般化 Malmquist 生產力指數改寫成投入導向模式，分析證券商總要素生 產力變動 (total factor productivity change, TFPC) 之來源。實證結果 顯示：(1) 整體上市櫃證券商季平均管理效率值為0.8931；(2) 資產 規模、股價指數、產品集中度是三項有利之經營環境因素，而營業 據點數、金控制度、資本適足性是三項不利之環境因素；(3) TFP 的 表現與總體經濟成長率變動關係密切，整體TFP 微幅退步（每季 -0.0016），歸因於技術效率退步 (-0.0098)，規模效果成長 (0.0035)， 和技術進步 (0.0047)；若不計金融海嘯大環境惡化的2008 年，則 TFP 是有成長的；(4) 金控證券商是技術進步的引領者，但其管理效 率不如獨立證券商。

This paper adopts a multi-input, multi-output distance function and a one-stage stochastic frontier approach to measure managerial efficiency of listed securities firms in Taiwan from 2004 to 2008. Inspired by the output oriented model of Orea (2002), this paper applies the quadratic identity (Diewert, 1976) to derive an input orientated generalized Malmquist productivity index to measure and analyze the economic drivers of productivity change. The empirical findings are as follows. First, for the whole sample firms, on average, the managerial efficiency score is 0.8931 per quarter. Second, there are 3 favorable operating environmental variables (asset scale, stock price index, and concentration of business lines), and 3 unfavorable environmental variables (number of branch offices, FHC securities subsidiary, and capital adequacy). Third, the performance of TFP is significantly and positively related to macroeconomic growth. Within the sample periods, on average, the TFP drops by 0.16% each quarter. The sources of TFP change are the deterioration in technical efficiency (-0.98%), the improvements in scale efficiency (0.35%), and technical change (0.47%). If we exclude the financial crisis year of 2008, then TFP improves. Fourth, the FHC securities subsidiaries outperform in technical innovation, while independent securities firms perform better in managerial efficiency.