文档介绍：Rev Quant Finan Acc
DOI -010-0192-1
ORIGINAL RESEARCH
Banking efficiency and stock market performance:
an analysis of listed Indonesian banks
Muliaman D. Hadad • Maximilian J. B. Hall •
Karligash A. Kenjegalieva • Wimboh Santoso •
Richard Simper
Ó Springer Science+Business Media, LLC 2010
Abstract The main purpose of this paper is to examine the monthly profit-based tech-
nical efficiency and productivity of listed Indonesian banks and their market performance.
We examined the banks through the prism of two modelling techniques, efficiency and
super-efficiency, over the period January 2003 to end-July 2007. Within this research
strategy we employed Tone’s (2001) non-parametric, Slacks-Based Model (SBM) and
Tone’s (2002) super-efficiency SBM to estimate the bank efficiencies. They were then
combined with recent bootstrapping techniques, namely the non-parametric truncated
regression analysis suggested by Simar and Wilson (2007), to identify the determinants of
the efficiency scores. With respect to the latter, 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. The first part of the analysis
reveals that listed banks’ average efficiencies varied widely over the sample period, from a
low of 34% to a high of 97%, with only one bank having a score in excess of unity under
the super-efficiency framework. The two most efficient banks were domestically owned.
With respect to the truncated regression analysis, we found that the banks’ efficiency
scores were positively correlated with share prices and return on equity in all models, and
with the log of total assets in the super-efficiency analysis. Moreover, it was found that the
JCI index of the Indonesian Stock Exchange is positively related to bank efficiency in all
models. Another interesting finding is that the coefficient for the share of foreign owner-
ship is n