Stochastic Frontier Model Approach for Measuring Stock Market Efficiency with Different Distributions
نویسندگان
چکیده
The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time-varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.
منابع مشابه
The Tail Mean-Variance Model and Extended Efficient Frontier
In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...
متن کاملComparative Analysis of Stochastic Frontier Partially non-parametric and Stochastic Frontier Parametric Methods Case Study: Measuring Cost Efficiency in Wheat Production in Iran
متن کامل
Measuring the Technical Efficiency of Canola Farmers and Determining the Effective Factors in Tabriz County, Iran
The purpose of this study was to measure the technical efficiency of canola farmers and determine the underpinning factors. Required data were collected using stratified random sampling method and questionnaire survey. In this context, 157 canola farmers from Tabriz County, Iran, were asked to fill out the questionnaire in 2012-2013 growing season. The technical efficiency was evaluated using s...
متن کاملMeasuring Market Power in the Iranian Banking Industry According to the Boone Efficient-based Approach
The main objective of this paper is to evaluate the structure of the Iranian banking system and to measure the market power factor based on the Boone approach. In this paper, we investigated the Iranian organized money market, including 18 banks operating in the period of 2008-2015. To calculate the marginal cost (MC), we used a Translog Stochastic Frontier Cost Function. Findings based on the ...
متن کاملA Cobb Douglas Stochastic Frontier Model on Measuring Domestic Bank Efficiency in Malaysia
Banking system plays an important role in the economic development of any country. Domestic banks, which are the main components of the banking system, have to be efficient; otherwise, they may create obstacle in the process of development in any economy. This study examines the technical efficiency of the Malaysian domestic banks listed in the Kuala Lumpur Stock Exchange (KLSE) market over the...
متن کامل