- Title
- Efficiency and stock market performance of Australian banks
- Creator
- Xiang, Dong; Shamsuddin, Abul
- Relation
- Asian Finance Association 2009 International Conference. Asian Finance Association 2009 International Conference: Conference Program (Brisbane, Qld 30 June - 3 July, 2009)
- Relation
- http://www.asian-fa.org/node/3
- Publisher
- Asian Finance Association / UQ Business School
- Resource Type
- conference paper
- Date
- 2009
- Description
- This paper investigates the efficiency of publicly listed Australian banks over the period 1997-2007. Data envelopment analysis (DEA) and stochastic frontier analysis (SFA) are used to estimate efficiency measures. The SFA shows a lower level of cost efficiency but a higher level of profit efficiency relative to its DEA counterpart. This finding may be partly attributed to a priori distributional assumptions on efficiency that are required by the SFA approach. A multifactor regression model is then used to determine whether a change in efficiency contributes to any change in bank stock returns. Employing the SFA efficiency scores, we observe that any improvement in technical and profit efficiency increases stock returns but cost efficiency exerts an unexpected negative influence on stock returns. The DEA efficiency scores are found to be uncorrelated with stock returns.
- Subject
- bank efficiency; DEA analysis; SFA analysis; Malmquist indexes
- Identifier
- uon:8778
- Identifier
- http://hdl.handle.net/1959.13/919123
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