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2014 | nr 2 (33) | 5--21
Tytuł artykułu

Bank Efficiency and Stock Returns in Selected ASEAN Countries

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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.(original abstract)
Rocznik
Numer
Strony
5--21
Opis fizyczny
Twórcy
autor
  • University of Malaysia
  • University of Malaysia
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171349143

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