DEA portfolio selection in Malaysian stock market
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 efficie...
| 出版年: | ICIMTR 2012 - 2012 International Conference on Innovation, Management and Technology Research |
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| 第一著者: | |
| フォーマット: | Conference paper |
| 言語: | English |
| 出版事項: |
2012
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| オンライン･アクセス: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84864823074&doi=10.1109%2fICIMTR.2012.6236492&partnerID=40&md5=a8115787e892545bf69e8aee336f5f01 |
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Ismail Md.K.A.; Rahman N.M.N.A.; Salamudin N.; Kamaruddin B.H. |
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Ismail Md.K.A.; Rahman N.M.N.A.; Salamudin N.; Kamaruddin B.H. 2-s2.0-84864823074 DEA portfolio selection in Malaysian stock market 2012 ICIMTR 2012 - 2012 International Conference on Innovation, Management and Technology Research 10.1109/ICIMTR.2012.6236492 https://www.scopus.com/inward/record.uri?eid=2-s2.0-84864823074&doi=10.1109%2fICIMTR.2012.6236492&partnerID=40&md5=a8115787e892545bf69e8aee336f5f01 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. © 2012 IEEE. English Conference paper |
| author |
2-s2.0-84864823074 |
| spellingShingle |
2-s2.0-84864823074 DEA portfolio selection in Malaysian stock market |
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2-s2.0-84864823074 |
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2-s2.0-84864823074 |
| title |
DEA portfolio selection in Malaysian stock market |
| title_short |
DEA portfolio selection in Malaysian stock market |
| title_full |
DEA portfolio selection in Malaysian stock market |
| title_fullStr |
DEA portfolio selection in Malaysian stock market |
| title_full_unstemmed |
DEA portfolio selection in Malaysian stock market |
| title_sort |
DEA portfolio selection in Malaysian stock market |
| publishDate |
2012 |
| container_title |
ICIMTR 2012 - 2012 International Conference on Innovation, Management and Technology Research |
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| container_issue |
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| doi_str_mv |
10.1109/ICIMTR.2012.6236492 |
| url |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84864823074&doi=10.1109%2fICIMTR.2012.6236492&partnerID=40&md5=a8115787e892545bf69e8aee336f5f01 |
| description |
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. © 2012 IEEE. |
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| language |
English |
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Conference paper |
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scopus |
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Scopus |
| _version_ |
1828987883980062720 |