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Efficiency in Stock Markets with DEA: Evidence from PSI20

Author

Listed:
  • Nuno Ferreira
  • Adriano Mendonça Souza
Abstract
After the US subprime crisis, the first signs of a sovereign debt crisis spread among European financial players. The regulation of the markets by European Commission and European Central Bank created limitation to obtained great amount of liquidity in commercial banking sector. In this context, the successful survival of some European banks became in a dangerous situation. The present study try to explore the crisis occurred in one of the largest private Portuguese banks through the analysis of the efficiency levels of twenty largest enterprises of the PSI20 since 1993. The input variables chosen were market value and return in a Data Envelopment Analysis model. Consistent with earlier studies, the results show substantial revenue inefficiencies among the Portuguese enterprises.

Suggested Citation

  • Nuno Ferreira & Adriano Mendonça Souza, 2015. "Efficiency in Stock Markets with DEA: Evidence from PSI20," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 5(1), pages 861-861.
    • Handle: RePEc:ers:ijfirm:v:5:y:2015:i:1:p:861
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    References listed on IDEAS

    as
    1. Wang, Ying-Ming & Chin, Kwai-Sang, 2010. "Some alternative models for DEA cross-efficiency evaluation," International Journal of Production Economics, Elsevier, vol. 128(1), pages 332-338, November.
    2. Lim, Sungmook & Oh, Kwang Wuk & Zhu, Joe, 2014. "Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market," European Journal of Operational Research, Elsevier, vol. 236(1), pages 361-368.
    3. Newton da Costa, Jr. & Marcus Lima & Edgar Lanzer & Ana Lopes, 2008. "DEA investment strategy in the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-10.
    4. repec:ebl:ecbull:v:13:y:2008:i:2:p:1-10 is not listed on IDEAS
    5. Joe Zhu, 2014. "DEA Cross Efficiency," International Series in Operations Research & Management Science, in: Quantitative Models for Performance Evaluation and Benchmarking, edition 3, chapter 4, pages 61-92, Springer.
    Full references (including those not matched with items on IDEAS)

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