Cover Image

Stochastic frontier model approach for measuring stock market efficiency with different distributions

The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This stu...

Full description

Saved in:
Bibliographic Details
Main Authors: Huerta-Quintanilla, Rodrigo, Hasan, Md Zobaer, Kamil, Anton Abdulbasah, Mustafa, Adli, Baten, Md Azizul
Format: Article
Published: 2012
Subjects:
QA75 Electronic computers. Computer science
Online Access:http://repo.uum.edu.my/19420/
http://doi.org/10.1371/journal.pone.0037047
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.uum.repo.19420
record_format eprints
spelling my.uum.repo.194202016-11-14T04:57:13Z http://repo.uum.edu.my/19420/ Stochastic frontier model approach for measuring stock market efficiency with different distributions Huerta-Quintanilla, Rodrigo Hasan, Md Zobaer Kamil, Anton Abdulbasah Mustafa, Adli Baten, Md Azizul QA75 Electronic computers. Computer science The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time- varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation. 2012 Article PeerReviewed Huerta-Quintanilla, Rodrigo and Hasan, Md Zobaer and Kamil, Anton Abdulbasah and Mustafa, Adli and Baten, Md Azizul (2012) Stochastic frontier model approach for measuring stock market efficiency with different distributions. PLoS ONE, 7 (5). e37047. ISSN 1932-6203 http://doi.org/10.1371/journal.pone.0037047 doi:10.1371/journal.pone.0037047
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/
topic QA75 Electronic computers. Computer science
spellingShingle QA75 Electronic computers. Computer science
Huerta-Quintanilla, Rodrigo
Hasan, Md Zobaer
Kamil, Anton Abdulbasah
Mustafa, Adli
Baten, Md Azizul
Stochastic frontier model approach for measuring stock market efficiency with different distributions
description The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time- varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.
format Article
author Huerta-Quintanilla, Rodrigo
Hasan, Md Zobaer
Kamil, Anton Abdulbasah
Mustafa, Adli
Baten, Md Azizul
author_facet Huerta-Quintanilla, Rodrigo
Hasan, Md Zobaer
Kamil, Anton Abdulbasah
Mustafa, Adli
Baten, Md Azizul
author_sort Huerta-Quintanilla, Rodrigo
title Stochastic frontier model approach for measuring stock market efficiency with different distributions
title_short Stochastic frontier model approach for measuring stock market efficiency with different distributions
title_full Stochastic frontier model approach for measuring stock market efficiency with different distributions
title_fullStr Stochastic frontier model approach for measuring stock market efficiency with different distributions
title_full_unstemmed Stochastic frontier model approach for measuring stock market efficiency with different distributions
title_sort stochastic frontier model approach for measuring stock market efficiency with different distributions
publishDate 2012
url http://repo.uum.edu.my/19420/
http://doi.org/10.1371/journal.pone.0037047
_version_ 1644282699941150720
score 13.211869

Similar Items