Chan, Sok-Gee and Abd Karim, Mohd Zaini (2014) Bank efficiency and stock returns in selected Asean countries. Argumenta Oeconomica, 2 (33). pp. 5-21. ISSN 1233-5835

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Abstract

This paper examines the relationship between bank efficiency and stock returns in selected ASEAN countries for the period 1987-2007.We first estimate the cost and profit efficiency of the sample of listed banks using the non parametric Data Envelopment Analysis (DEA) approach.We then test both variables for co-integration and estimate the panel vector error correction model to examine the long and short-term relationship between a bank’s efficiency and stock returns. The results show that a bank’s stock returns prices are co-integrated with both cost and profit efficiency, suggesting a long-term relationship between the two.The results also indicate the superiority of profit efficiency relative to cost efficiency in predicting stock returns in the ASEAN countries. Overall, we conclude both cost and profit efficiency contains useful information for shareholders who wish to explain bank stock returns

Item Type:	Article
Uncontrolled Keywords:	Bank efficiency, stock returns, Data Envelopment Analysis, panel time-series
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Prof. Dr. Mohd Zaini Abd Karim
Date Deposited:	11 Aug 2015 03:27
Last Modified:	17 Apr 2016 08:28
URI:	https://repo.uum.edu.my/id/eprint/15114

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