Page 139 - Contributed Paper Session (CPS) - Volume 7

CPS2048 Md Zobaer H. et al.

Efficiency analysis by combination of parametric
and non- parametric approach: Evidence from
Bursa Malaysia
Md Zobaer Hasan , Omar Sharif , Chang Yun Fah , Mahboobeh Zangeneh
3
1
2
Sirdari
3
1 School of Science, Monash University Malaysia, Bandar Sunway, Malaysia
2 Department of General Educational Development, Daffodil International University, Dhaka,
Bangladesh
3 Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Bandar
Sungai Long, Selangor, Malaysia

Abstract
This study estimates the technical efficiency scores of the financial companies
listed in Bursa Malaysia using the non-parametric approach (DEA), parametric
approach (SFA) and the proposed approach, CDS (combination of DEA and
SFA) over the period 2007-2016. In addition, regression analysis between
efficiency and profit risk are utilized to find the most efficient approach among
the three approaches: DEA, SFA and CDS. The result suggests that the most
efficient model is CDS which has a significant positive correlation with profit
risk. Based on the results of CDS, this study postulate that the most efficient
company is ACSM (Aeon Credit Service M Bhd) with the efficiency score 0.9819
and the least efficient company is MAY (Malayan Banking Bhd) with the
efficiency score 0.7693 in Bursa Malaysia. The findings of this research provide
a benchmark for future studies about the comparison of different financial
companies in Bursa Malaysia.

Keywords
Bursa Malaysia; Efficiency; DEA; SFA; CDS

1. Introduction
Nowadays, it is very difficult to identify the most efficient company by
observing only the stock price. Many techniques are applied by investors to
optimize their return and minimize the risk of their investment (Saad et al.,
2011). Particularly in policy making, the efficiency is important because it
permits an efficient allotment of capital in different productive sectors in an
economy (Hubbard, 2008).
There are many methods in the frontier analysis to evaluate performance
such as parametric and non-parametric, stochastic method (Fenyves et al.,
2015). The present article introduces a non-parametric method, DEA (Data
Envelopment Analysis), a parametric approach SFA (Stochastic Frontier
Analysis) and the combination of DEA and SFA (CDS).

126 | I S I W S C 2 0 1 9