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...
| الحاوية / القاعدة: | ICIMTR 2012 - 2012 International Conference on Innovation, Management and Technology Research |
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| المؤلف الرئيسي: | |
| التنسيق: | Conference paper |
| اللغة: | English |
| منشور في: |
2012
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| الوصول للمادة أونلاين: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84864823074&doi=10.1109%2fICIMTR.2012.6236492&partnerID=40&md5=a8115787e892545bf69e8aee336f5f01 |
| الملخص: | 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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| تدمد: | |
| DOI: | 10.1109/ICIMTR.2012.6236492 |