Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange
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...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academic Journal Inc
2012
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/9332/1/41225-41225.pdf http://repo.uum.edu.my/9332/ http://www.researchgate.net/journal/1819-3579_Trends_in_Applied_Sciences_Research |
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| Institution: | Universiti Utara Malaysia |
| Language: | English |
| Summary: | 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. |
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