DEA portfolio selection in Malaysian stock market

Author

Ismail, Md Khairu Amin ; Salamudin, Norhana ; Rahman, Nik Muhammad Naziman Abd ; Kamaruddin, Badrul Hisham

Author_Institution

Fac. of Bus. Manage., Univ. Teknol. MARA, Machang, Malaysia

fYear

2012

fDate

21-22 May 2012

Firstpage

739

Lastpage

743

Abstract

The purpose of this paper is to investigate the effectiveness of data envelopment analysis (DEA) model on portfolio selection for investors over long horizon in the Malaysian stock market. This paper employs the technical efficiency DEA model to evaluate the firm´s efficiency. Then, the efficient firms are selected for the portfolio formation. The scope of this paper incorporates all companies of the property sectors of Bursa Malaysia from 2004 through 2005. The results demonstrate that the Technical Efficiency Portfolio seems to produce significant cumulative abnormal returns over the 36-months holding period. In a nutshell, the empirical findings suggest that the DEA models effectively can be used as a tool in helping investors for their portfolio selection over long-term in Malaysian stock market.

Keywords

data envelopment analysis; stock markets; 36-months holding period; Bursa Malaysia; DEA portfolio selection; Malaysian stock market; cumulative abnormal returns; data envelopment analysis; investors; Data envelopment analysis; Finance; Mathematical model; Portfolios; Programming; Stock markets; Data Envelopment Analysis (DEA); Emerging market; Portfolio Selection; Relative Efficiency;

fLanguage

English

Publisher

ieee

Conference_Titel

Innovation Management and Technology Research (ICIMTR), 2012 International Conference on

Conference_Location

Malacca

Print_ISBN

978-1-4673-0655-3

Type

conf

DOI

10.1109/ICIMTR.2012.6236492

Filename

6236492