Bank efficiency and stock returns in selected Asean countries

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 var...

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Main Authors: Chan, Sok-Gee, Abd Karim, Mohd Zaini
Format: Article
Language:English
Published: Uniwersytet Warszawski 2014
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Online Access:http://repo.uum.edu.my/15114/1/Chan_.pdf
http://repo.uum.edu.my/15114/
http://yadda.icm.edu.pl/yadda/element/bwmeta1.element.ekon-element-000171349143
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Institution: Universiti Utara Malaysia
Language: English
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spelling my.uum.repo.151142016-04-17T08:28:09Z http://repo.uum.edu.my/15114/ Bank efficiency and stock returns in selected Asean countries Chan, Sok-Gee Abd Karim, Mohd Zaini HG Finance 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 Uniwersytet Warszawski 2014 Article PeerReviewed application/pdf en http://repo.uum.edu.my/15114/1/Chan_.pdf 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 http://yadda.icm.edu.pl/yadda/element/bwmeta1.element.ekon-element-000171349143
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Chan, Sok-Gee
Abd Karim, Mohd Zaini
Bank efficiency and stock returns in selected Asean countries
description 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
format Article
author Chan, Sok-Gee
Abd Karim, Mohd Zaini
author_facet Chan, Sok-Gee
Abd Karim, Mohd Zaini
author_sort Chan, Sok-Gee
title Bank efficiency and stock returns in selected Asean countries
title_short Bank efficiency and stock returns in selected Asean countries
title_full Bank efficiency and stock returns in selected Asean countries
title_fullStr Bank efficiency and stock returns in selected Asean countries
title_full_unstemmed Bank efficiency and stock returns in selected Asean countries
title_sort bank efficiency and stock returns in selected asean countries
publisher Uniwersytet Warszawski
publishDate 2014
url http://repo.uum.edu.my/15114/1/Chan_.pdf
http://repo.uum.edu.my/15114/
http://yadda.icm.edu.pl/yadda/element/bwmeta1.element.ekon-element-000171349143
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