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Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange


Hassan, Md Zobaer and Kamil, Anton Abdulbasah and Mustafa, Adli and Baten, Md Azizul (2012) Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange. Trends in Applied Sciences Research, 7 (7). pp. 532-540. ISSN 1819-3579

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Abstract

This study analyzes the technical efficiency of selected groups of companies of Bangladesh Stock Market that is Dhaka Stock Exchange (DSE) market using a stochastic frontier production function.This research considers Cobb-Douglas Stochastic frontier model with truncated normal distribution and both the time-variant and time-invariant inefficiency effects are estimated.The studied input variables-market return, market capitalization, book to market ratio and market value show significant relationship with the stock returns.The estimated average technical efficiency of DSE market is 95.42% of potential output for the truncated normal distribution over the period 2000-2008.The results show that technical efficiency gradually decreases over the reference period.The value of technical efficiency is high for investment group and low for bank group in time-variant situation whereas the value of technical efficiency is high for investment group also but low for ceramic group in time-invariant situation.

Item Type: Article
Uncontrolled Keywords: Technical efficiency, Cobb-Douglas stochastic frontier, truncated normal distribution, time-variant, time-invariant, Dhaka stock exchange.
Subjects: H Social Sciences > HG Finance
Divisions: College of Arts and Sciences
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 19 Nov 2013 07:28
Last Modified: 19 Nov 2013 07:28
URI: http://repo.uum.edu.my/id/eprint/9332

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