Bank efficiency and the efficient market hypothesis: the case for bank stock prices in KLSE

Citation

Habibullah, Muzafar Shah and Makmur, Muhd Iqbal and Wan Ngah, Wan Azman Saini and Radam, Alias and Ong, Hway Boon (2005) Bank efficiency and the efficient market hypothesis: the case for bank stock prices in KLSE. Savings and Development, 29 (4). pp. 363-390. ISSN 0393-4551

Abstract

The purpose of the present study is to investigate the informationally efficient market hypothesis of the bank stock prices listed at the KLSE with respect to bank's operating efficiency. In this study, using data envelopment analysis technique, we compute the overall technical efficiency and decomposed it into pure technical efficiency, scale efficiency and congestion efficiency. We found out that the percentage changes in the prices of the bank shares at the KLSE reflect percentage changes in the overall technical efficiency but not to the pure technical, scale and congestion efficiencies scores. We therefore, conclude that the Malaysia's bank stock return is price inefficient in the semi-strong form sense.

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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Economics and Management
Publisher:	Giordano Dell-Amore Foundation
Keywords:	Banking; Data envelopment analysis; Stock market
Depositing User:	Erni Suraya Abdul Aziz
Date Deposited:	20 Dec 2010 02:58
Last Modified:	19 Feb 2018 08:46
URI:	http://psasir.upm.edu.my/id/eprint/8797
Statistic Details:	View Download Statistic

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