Location of Repository

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

Abstract

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 http://www.le.ac.uk/ulsm/research/epru/dispaper.htmlThis 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: oai:lra.le.ac.uk:2381/371

Suggested articles

Preview

Citations

  1. (1990). An empirical study on measuring operating efficiency and profitability of bank branches”, doi
  2. (1985). Bank Branch Operating Efficiency - Evaluation With Data Envelopment Analysis”, doi
  3. (1995). Chance constrained efficiency evaluation”, doi
  4. (1996). Chapter 6: Sectoral Economics in doi
  5. (1996). Deregulation and Productivity decline: The case of Spanish savings banks”, doi
  6. (1978). Design and testing of a Generalised Reduced Gradient Code for Non-linear programming”, doi
  7. (1963). Deterministic equivalents for optimising and satisficing under chance constraints"” doi
  8. (1998). Efficiency and productivity growth in Turkish commercial banking sector: a non-parametric approach”, presented at the European Symposium on: Data Envelopment Analysis – Recent Developments and Applications,
  9. (1997). Efficiency of financial institutions: International survey and directions for future research”, doi
  10. (2000). Evaluating the efficiency of Turkish commercial banks: An application of DEA and Tobit Analysis”, presented at the International DEA Symposium,
  11. (1999). Liberalisation before stabilisation: policy and performance in Turkish Banking,
  12. (1992). Measurement and efficiency issues in commercial banking”
  13. (1978). Measuring the efficiency of decision making units”, doi
  14. (1998). OnFront™ version 1.0 software
  15. (1993). Production Frontiers and Productive Efficiency doi
  16. (1992). Productive Inefficiencies in U.K. Building Societies: A comparison of Non-parametric and Stochastic Frontier Techniques”, The Manchester School, vol XIV, doi
  17. (1984). Some models for estimating technical and scale efficiency in data envelopment analysis”, doi
  18. (1991). Technical Efficiency of Norwegian Banks: The Non-Parametric Approach to Efficiency Measurement”, doi
  19. (1996). The application of Data Envelopment Analysis in conjunction with financial ratios for bank performance evaluation”, doi
  20. (1995). The effect of financial liberalisation on the efficiency of Turkish commercial banks”, doi
  21. (2000). The impact of financial liberalisation on the efficiency of the Turkish Banking System: A Two-Stage DEA Application, The Banks Association of Turkey Working Paper Series,
  22. (1957). The measurement of productive efficiency”, doi
  23. (1997). The sources of productivity change in Spanish banking”, doi
  24. (2001). The Turkish Banking System”, Banks Association of Turkey:
  25. (2000). Turk Banka Sisteminde Performans Olcumu: DEAMalmquist TFP Endexi Uygulamasi, Turkiye Bankalar Birligi Arastirma Tebligleri Serisi,
  26. (1996). Turk Bankacilik Sektoru icin Goreli Mali Performans Olcumu,
  27. (2000). Turk Bankacilik sisteminde Olcek ve Mulkiyet Yapilari ile Finansal Performans Iliskisi”, Yapi Kredi Tartisma Tebligler Serisi No:

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.