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An empirical study of stochastic DEA and financial performance: the case of the Turkish commercial banking industry

By Meryem Duygun Fethi, Peter M. Jackson and Thomas G. Weyman-Jones


The earlier version of this study was presented at the INFORMS International Hawaii Conference, Maui, Hawaii, USA, June 17-20, 2001. This paper is also available from the EPRU website at study breaks important new ground in the analysis of financial institutions. It is one of the first empirical uses of Stochastic Data Envelopment Analysis (SDEA) in the efficiency literature. The pattern of efficiency is examined for the year 1999. The purpose of stochastic setting of DEA is two-fold: to accommodate both the inefficiency and the presence of measurement errors; and to convert the resulting stochastic linear programmes for DEA into deterministic non-linear DEA programmes. The results show that there are wide variations in the DEA efficiency scores and SDEA results suggest that these are due to measurement errors or other stochastic factors in the raw data, probably attributable to macroeconomic shocks and issues of changes in banking regulations

Publisher: Efficiency and Productivity Research Unit, University of Leicester
Year: 2001
OAI identifier:

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