Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency
The objective of this paper is to present the technical efficiency of individual companies and their respective groups of Bangladesh stock market (i.e., Dhaka Stock Exchange, DSE) by using two risk factors (co-skewness and co-kurtosis) as the additional input variables in the Stochastic Frontier A...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Publishing Corporation
2014
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| Subjects: | |
| Online Access: | http://eprints.usm.my/38528/1/Contribution_of_Co-Skewness_and_Co-Kurtosis_of_the_Higher_Moment_CAPM_for_Finding_the_Technical_Efficiency.pdf http://eprints.usm.my/38528/ http://dx.doi.org/10.1155/2014/253527 |
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| Summary: | The objective of this paper is to present the technical efficiency of individual companies and their respective groups of Bangladesh
stock market (i.e., Dhaka Stock Exchange, DSE) by using two risk factors (co-skewness and co-kurtosis) as the additional input
variables in the Stochastic Frontier Analysis (SFA). The co-skewness and co-kurtosis are derived from the HigherMoment Capital
Asset Pricing Model (H-CAPM). To investigate the contribution of these two factors, two types of technical efficiency are derived:
(1) technical efficiency with considering co-skewness and co-kurtosis (WSK) and (2) technical efficiency without considering coskewness
and co-kurtosis (WOSK). By comparing these two types of technical efficiency, it is noticed that the technical efficiency
ofWSK is higher than the technical efficiency ofWOSK for the individual companies and their respective groups. As per available
literature in the context Bangladesh stockmarket, no study has been conducted thus far to measure technical efficiency of companies
and their respective groups by using the risk factors which are derived from the H-CAPM. In this research, the link between HCAPM
and SFA is established for measuring technical efficiency and it is believed that the findings of this study may be applied to
other emerging stock markets. |
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