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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Academic Journal Inc
2012
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| Online Access: | https://repo.uum.edu.my/id/eprint/9332/1/41225-41225.pdf |
| _version_ | 1803625808781115392 |
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| author | Hassan, Md Zobaer Kamil, Anton Abdulbasah Mustafa, Adli Baten, Md Azizul |
| author_facet | Hassan, Md Zobaer Kamil, Anton Abdulbasah Mustafa, Adli Baten, Md Azizul |
| author_sort | Hassan, Md Zobaer |
| collection | UUM |
| description | 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. |
| first_indexed | 2024-07-04T05:40:10Z |
| format | Article |
| id | uum-9332 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:40:10Z |
| publishDate | 2012 |
| publisher | Academic Journal Inc |
| record_format | dspace |
| spelling | uum-93322013-11-19T07:28:16Z https://repo.uum.edu.my/id/eprint/9332/ Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange Hassan, Md Zobaer Kamil, Anton Abdulbasah Mustafa, Adli Baten, Md Azizul HG Finance 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. Academic Journal Inc 2012 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/9332/1/41225-41225.pdf 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 http://www.researchgate.net/journal/1819-3579_Trends_in_Applied_Sciences_Research |
| spellingShingle | HG Finance Hassan, Md Zobaer Kamil, Anton Abdulbasah Mustafa, Adli Baten, Md Azizul Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange |
| title | Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange |
| title_full | Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange |
| title_fullStr | Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange |
| title_full_unstemmed | Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange |
| title_short | Estimating stock market technical efficiency for truncated normal distribution: Evidence from Dhaka stock exchange |
| title_sort | estimating stock market technical efficiency for truncated normal distribution evidence from dhaka stock exchange |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/9332/1/41225-41225.pdf |
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