International Journal of
Physical Sciences

  • Abbreviation: Int. J. Phys. Sci.
  • Language: English
  • ISSN: 1992-1950
  • DOI: 10.5897/IJPS
  • Start Year: 2006
  • Published Articles: 2569

Full Length Research Paper

Evaluation of stock market technical efficiency with a comparison of groups of companies in Dhaka stock exchange

Md. Zobaer Hasan1, Anton Abdulbasah Kamil1 and Md. Azizul Baten2*      
1Mathematics Section, School of Distance Education, Universiti Sains Malaysia, 11800 USM, Penang, Malaysia. 2Department of Statistics, School of Physical Sciences, Shahjalal University of Science and Technology Sylhet-3114, Bangladesh.  
Email: [email protected]

  •  Accepted: 24 August 2011
  •  Published: 16 October 2011

Abstract

The objective of this study was to measure stock market efficiency of the groups of companies, such as Group-A (financial), Group-A (non-financial), Group-B and Group-Z of Dhaka stock exchange (DSE) market in Bangladesh applying the Stochastic Frontier approach, incorporating technical inefficiency effect model. Among the four groups, most efficient group was Group-A (financial) and most inefficient group was Group-Z. This study showed that the mean technical efficiency of the companies of DSE market during the period 2000 to 2008 was 0.8782. This implied that 87% of potential output was being realized by the companies of DSE market. In case of using production function model; it was found that the Translog production function was more preferable than the Cobb-Douglas production function. The technical efficiency rate was found gradually increasing over time in the stock market in Bangladesh.  

 

Key words: Dhaka stock exchange, technical efficiency, stochastic frontier model, inefficiency effects.

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