Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency
المؤلفون المشاركون
Hasan, Md. Zobaer
Kamil, Anton Abdulbasah
المصدر
Economics Research International
العدد
المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-9، 9ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2014-01-16
دولة النشر
مصر
عدد الصفحات
9
التخصصات الرئيسية
الملخص EN
The objective of this paper is to present the technical efficiency of individual companies and their respective groups of Bangladesh stock market (i.e., Dhaka Stock Exchange, DSE) by using two risk factors (co-skewness and co-kurtosis) as the additional input variables in the Stochastic Frontier Analysis (SFA).
The co-skewness and co-kurtosis are derived from the Higher Moment Capital Asset Pricing Model (H-CAPM).
To investigate the contribution of these two factors, two types of technical efficiency are derived: (1) technical efficiency with considering co-skewness and co-kurtosis (WSK) and (2) technical efficiency without considering co-skewness and co-kurtosis (WOSK).
By comparing these two types of technical efficiency, it is noticed that the technical efficiency of WSK is higher than the technical efficiency of WOSK for the individual companies and their respective groups.
As per available literature in the context Bangladesh stock market, no study has been conducted thus far to measure technical efficiency of companies and their respective groups by using the risk factors which are derived from the H-CAPM.
In this research, the link between H-CAPM and SFA is established for measuring technical efficiency and it is believed that the findings of this study may be applied to other emerging stock markets.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Hasan, Md. Zobaer& Kamil, Anton Abdulbasah. 2014. Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency. Economics Research International،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-457665
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Hasan, Md. Zobaer& Kamil, Anton Abdulbasah. Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency. Economics Research International No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-457665
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Hasan, Md. Zobaer& Kamil, Anton Abdulbasah. Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency. Economics Research International. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-457665
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-457665
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر