Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
AbstractThis 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.
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Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Computational Economics and Econometrics.
Volume (Year): 1 (2009)
Issue (Month): 1 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID==311
bank efficiency; share prices; data envelopment analysis; DEA window analysis; China; banking models.;
Other versions of this item:
- Abdul Majid, Muhamed Zulkhibri & Sufian, Fadzlan, 2008. "Bank Efficiency and Share Prices in China: Empirical Evidence from a Three-Stage Banking Model," MPRA Paper 12120, University Library of Munich, Germany, revised 01 Apr 2008.
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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