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Banking efficiency and stock market performance: an analysis of listed Indonesian banks
This paper examines the monthly efficiency and productivity of listed Indonesian banks and their market performance through the prism of two modelling techniques, efficiency and super-efficiency, over the period January 2006 to July 2007. Within this research strategy we employ Tone’s (2001) non-par...
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| Format: | Default Preprint |
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2008
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| Online Access: | https://hdl.handle.net/2134/4201 |
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| author | Muliaman D. Hadad Maximilian Hall Karligash Glass Wimboh Santoso Ricky Satria Richard Simper |
| author_facet | Muliaman D. Hadad Maximilian Hall Karligash Glass Wimboh Santoso Ricky Satria Richard Simper |
| author_sort | Muliaman D. Hadad (7195592) |
| collection | Figshare |
| description | This paper examines the monthly efficiency and productivity of listed Indonesian banks and their market performance through the prism of two modelling techniques, efficiency and super-efficiency, over the period January 2006 to July 2007. Within this research strategy we employ Tone’s (2001) non-parametric, Slacks-Based Model (SBM) and Tone’s (2002) super-efficiency SBM combining them with recent bootstrapping techniques, namely the non-parametric truncated regression analysis suggested by Simar and Wilson (2007). In the case of the SBM efficiency scores, the Simar and Wilson methodology was adapted to two truncations, whereas in the super-efficiency framework the original technique was utilised. As suggested by neo-classical theory, we find that the stock market values banks in accordance with their performance. Moreover, it is found that the JCI index of the Indonesian Stock Exchange is positively related to bank efficiency. Another interesting finding is that the coefficient for the share of foreign ownership is negative and statistically significant in the super-efficiency modelling. This suggests that Indonesian banks with foreign ownership tend to be less efficient than their domestic counterparts. Finally, Malmquist productivity results suggest that, over the study’s horizon, the sample banks displayed volatile productivity patterns in their profit-generating operations. |
| format | Default Preprint |
| id | rr-article-9493292 |
| institution | Loughborough University |
| publishDate | 2008 |
| record_format | Figshare |
| spelling | rr-article-94932922008-01-01T00:00:00Z Banking efficiency and stock market performance: an analysis of listed Indonesian banks Muliaman D. Hadad (7195592) Maximilian Hall (1247469) Karligash Glass (1251084) Wimboh Santoso (7195595) Ricky Satria (7195691) Richard Simper (7195598) Other economics not elsewhere classified Indonesian banking Emerging markets Productivity Efficiency Economics not elsewhere classified This paper examines the monthly efficiency and productivity of listed Indonesian banks and their market performance through the prism of two modelling techniques, efficiency and super-efficiency, over the period January 2006 to July 2007. Within this research strategy we employ Tone’s (2001) non-parametric, Slacks-Based Model (SBM) and Tone’s (2002) super-efficiency SBM combining them with recent bootstrapping techniques, namely the non-parametric truncated regression analysis suggested by Simar and Wilson (2007). In the case of the SBM efficiency scores, the Simar and Wilson methodology was adapted to two truncations, whereas in the super-efficiency framework the original technique was utilised. As suggested by neo-classical theory, we find that the stock market values banks in accordance with their performance. Moreover, it is found that the JCI index of the Indonesian Stock Exchange is positively related to bank efficiency. Another interesting finding is that the coefficient for the share of foreign ownership is negative and statistically significant in the super-efficiency modelling. This suggests that Indonesian banks with foreign ownership tend to be less efficient than their domestic counterparts. Finally, Malmquist productivity results suggest that, over the study’s horizon, the sample banks displayed volatile productivity patterns in their profit-generating operations. 2008-01-01T00:00:00Z Text Preprint 2134/4201 https://figshare.com/articles/preprint/Banking_efficiency_and_stock_market_performance_an_analysis_of_listed_Indonesian_banks/9493292 CC BY-NC-ND 4.0 |
| spellingShingle | Other economics not elsewhere classified Indonesian banking Emerging markets Productivity Efficiency Economics not elsewhere classified Muliaman D. Hadad Maximilian Hall Karligash Glass Wimboh Santoso Ricky Satria Richard Simper Banking efficiency and stock market performance: an analysis of listed Indonesian banks |
| title | Banking efficiency and stock market performance: an analysis of listed Indonesian banks |
| title_full | Banking efficiency and stock market performance: an analysis of listed Indonesian banks |
| title_fullStr | Banking efficiency and stock market performance: an analysis of listed Indonesian banks |
| title_full_unstemmed | Banking efficiency and stock market performance: an analysis of listed Indonesian banks |
| title_short | Banking efficiency and stock market performance: an analysis of listed Indonesian banks |
| title_sort | banking efficiency and stock market performance: an analysis of listed indonesian banks |
| topic | Other economics not elsewhere classified Indonesian banking Emerging markets Productivity Efficiency Economics not elsewhere classified |
| url | https://hdl.handle.net/2134/4201 |