文化大學機構典藏 CCUR:Item 987654321/48875
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    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/48875


    题名: An integrated efficiency evaluation of China stock market
    作者: Kuo, KC (Kuo, Kuo-Cheng)
    Lu, WM (Lu, Wen-Min)
    Dinh, TN (Dinh, Thanh Nhan)
    贡献者: 全商所
    关键词: Data envelopment analysis
    additive efficiency decomposition
    second order cone programming
    China stock market
    日期: 2021
    上传时间: 2020-12-10 15:24:54 (UTC+8)
    摘要: Several studies employ data envelopment analysis (DEA) in the area of portfolio optimization or stock market efficiency evaluation, however, they have not extended two-stage network DEA to further decompose the efficiency of firms on the stock market and understand the origin of performance. Because of China's rising role in global stock market, the current research utilizes the sample of 140 firms extracted from China CSI 300 Index from 2012 to 2016 and proposes an additive two-stage network DEA model to evaluate the performance of China listed firms derived from production and financial production process with fundamental and technical analysis approaches. Analytic hierarchy process and second order cone programming are developed to determine the weights and to solve the nonlinear problem in the additive efficiency decomposition model. In addition to, future data estimated from regression analysis is applied in the DEA model to predict the performance. The main findings are as follows: The production process is more important in defining the overall efficiency of a firm on the stock market; There are significant differences in the distribution of efficiencies among various group industries; The health care, information technology or energy industry has a predicted outstanding performance in general.
    關聯: JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY 卷 72, 期 4, 頁 950 - 969 2021
    显示于类别:[全球商務學位學程] 期刊論文

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