Bank efficiency and share prices in China: empirical evidence from a three-stage banking model

Bank efficiency and share prices in China: empirical evidence from a three-stage banking model

This paper examines the relationship between the efficiency of China banks and its share price performance. Our analysis consists of three parts. First, we calculate the annual share price returns of the banks for each year between 1997 and 2006. Then we employ the data envelopment analysis (DEA) wi...

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Main Authors: Sufian, Fadzlan, Abdul Majid, Muhamed Zulkhibri
Format: Article
Language:English
Published: Inderscience Publishers 2009
Subjects:
HG1501 Banking
Online Access:http://irep.iium.edu.my/5266/
http://irep.iium.edu.my/5266/
http://irep.iium.edu.my/5266/1/IJCEE010103_SUFIAN.pdf
id iium-5266
recordtype eprints
spelling iium-52662012-01-19T03:14:38Z http://irep.iium.edu.my/5266/ Bank efficiency and share prices in China: empirical evidence from a three-stage banking model Sufian, Fadzlan Abdul Majid, Muhamed Zulkhibri HG1501 Banking This paper examines the relationship between the efficiency of China banks and its share price performance. Our analysis consists of three parts. First, we calculate the annual share price returns of the banks for each year between 1997 and 2006. Then we employ the data envelopment analysis (DEA) window analysis method to estimate the efficiency of each bank. Finally, we regress the annual share price returns on the change in efficiency, while controlling for other bank specific traits. The empirical findings suggest that large Chinese banks have exhibited higher technical and pure technical efficiency levels compared to their small and medium sized bank counterparts, while the medium sized banks have exhibited higher scale efficiency. The relationship between Chinese banks’ efficiency and share price performance suggest that bank efficiency estimates derived from the DEA window analysis method contributes significant information towards share price returns beyond that provided by financial information. Inderscience Publishers 2009 Article PeerReviewed application/pdf en http://irep.iium.edu.my/5266/1/IJCEE010103_SUFIAN.pdf Sufian, Fadzlan and Abdul Majid, Muhamed Zulkhibri (2009) Bank efficiency and share prices in China: empirical evidence from a three-stage banking model. International Journal of Computational Economics and Econometrics, 1 (1). pp. 23-47. ISSN 1757-1189 ; 1757-1170 http://www.inderscience.com/browse/index.php?journalCODE=ijcee
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG1501 Banking
spellingShingle HG1501 Banking
Sufian, Fadzlan
Abdul Majid, Muhamed Zulkhibri
Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
description This paper examines the relationship between the efficiency of China banks and its share price performance. Our analysis consists of three parts. First, we calculate the annual share price returns of the banks for each year between 1997 and 2006. Then we employ the data envelopment analysis (DEA) window analysis method to estimate the efficiency of each bank. Finally, we regress the annual share price returns on the change in efficiency, while controlling for other bank specific traits. The empirical findings suggest that large Chinese banks have exhibited higher technical and pure technical efficiency levels compared to their small and medium sized bank counterparts, while the medium sized banks have exhibited higher scale efficiency. The relationship between Chinese banks’ efficiency and share price performance suggest that bank efficiency estimates derived from the DEA window analysis method contributes significant information towards share price returns beyond that provided by financial information.
format Article
author Sufian, Fadzlan
Abdul Majid, Muhamed Zulkhibri
author_facet Sufian, Fadzlan
Abdul Majid, Muhamed Zulkhibri
author_sort Sufian, Fadzlan
title Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
title_short Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
title_full Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
title_fullStr Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
title_full_unstemmed Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
title_sort bank efficiency and share prices in china: empirical evidence from a three-stage banking model
publisher Inderscience Publishers
publishDate 2009
url http://irep.iium.edu.my/5266/
http://irep.iium.edu.my/5266/
http://irep.iium.edu.my/5266/1/IJCEE010103_SUFIAN.pdf
first_indexed 2023-09-18T20:13:47Z
last_indexed 2023-09-18T20:13:47Z
_version_ 1777407651522543616

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