Abstract: This paper employs a the variable returns to scale DEA
model to take account of risky assets and estimate the operating
efficiencies for the 21 domestic listed securities firms during the
period 2005-2009. Evidence is found that on average the brokerage
securities firms- operating efficiencies are better than integrated
securities firms. Evidence is also found that the technical inefficiency
from inappropriate management constitutes the main source of the
operating inefficiency for both types of securities firms. Moreover, the
scale economies prevail in brokerage and integrated securities firms,
in other words, which exhibit the characteristic of increasing returns to
scale.