Measuring efficiency score by cross-efficiency method in data envelopment analysis and its relation to profitability and risk in banks admitted to Tehran stock exchange
The main purpose of this study is to measure the efficiency score by the cross-efficiency method in Data Envelopment Analysis (DEA) and its relation to profitability and risk in banks listed in the Tehran stock exchange for the period 2011-2017. The statistical population of the study consists of 19 banks listed in Tehran stock exchange. The proposed method is developed in two steps as follows. First, we evaluate the efficiency measures of banks using the cross-efficiency method in DEA. Then, we address the relationship between obtained efficiency scores with risk and profitability of banks through inferential statistics. In order to analyze the data, first, we apply pre-tests of variance homogeneity, F-Layer test, Hausman test, and Jarque and Bera test and then we use multivariate regression test to confirm or reject the research hypotheses.The following three conclusions emerge from the obtained results. First, we have a significant relationship between the credit risk and the efficiency measure of the banks listed in Tehran stock exchange. Second, there is a significant relationship between liquidity risk and the performance of the banks listed in the Tehran stock exchange. Finally, we show that between the profitability and the efficiency score of the banks listed in the Tehran Stock Exchange is also a significant relationship.
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.