NUST Business School

ECO 215 Fundamentals of Econometrics

Assignment 2

Submitted to;
Dr Ateeq-ur-Rehman

Submitted by;
Asadullah Sher
Ahmed Sami
Ali Qasim
Aleena Azher
Rafay Ahmad

BS ACF 2K16 A
Date: 19 March, 2018.
DATA ENVELOPMENT ANALYSIS OF STOCK EXCHANGES
 (1)
This article is written by Ong Poay Ling & Anton Abdul basah Kamil
from Sains University of Malaysia. This article was aimed to determine
the efficiency of listed companies in Bursa Malaysia in terms of
Financial Performance. This study combines all critical criteria for
evaluating this financial performance of companies.
Method that has been used is Data Envelopment Analysis.
Well in this paper two studies were carried out. The first study is based
on absolute amount from income statement and balance sheet while
the second study is based on the financial ratios.
CASE A :
Input :
 Total Assets
 Current Assets
 Current Liabilities
 Total Expenses
Output
 Net income
 Revenue

CASE B:
Input:
 Current ratio
 Debt ratio
 Debt to Equity ratio
Output:
 Return on investment
 ROE
 Earning per share

(2)
This paper was published in 2007 and is authorized by “Ana Lucia
Lopes, Marcus Vinicius de Lima, Ademar Dutra, Edgar Augusto Lanzer”.
This article presents DEA investment strategy using Data Envelopment
Analysis Technique in Brazilian Stock Market. The performance of DEA
portfolio is then compared to vale weighted stock market index
(IBrX100) and with Brazilian interbank deposits rate (CDI).
The Data is collected from start of each of following twelve consecutive
quarters along the period of 2001-2003. Total 7 attributes are taken
into account out of which 3 are input and 4 are output.

Input
 Beta
 Price to earning ratio
 Return volatility for each stock

Output
 Earning per share
 Last 12, 36, and 60 month return.
 (3)

This is a paper which was submitted to Business Department of CUST,

Islamabad. It is authorized by Muhammad Khalid Sohail. In this
examination, execution and effectiveness of IPO firms recorded on KSX
from 2000-2012 is dissected. The outcomes demonstrate that the level
of underpricing is likewise seen in KSE. In this investigation at first

83 IPO firms are broke down for underpricing examination covering the
time of 13 years from year 2000 to 2012.

For measuring profitability these variables are used

Input:
 Number of employees
 Total assets
 Equity

Output
 Revenue
 Profit after taxes

(4)

This article was published in Business Department, COMSATS

Islamabad. Writers of this article are Muhamad Aftab, Sajad Ahamad,
Wasim ulah and Rauf A.Shiekh. The investigation looks at the
connection between bank proficiency and offer execution.
Data envelopment analysis technique has been used in this paper.
This examination joins the information of seven business banks of all
banks recorded on Karachi stock trade. Just those banks are taken
which have been incorporated into KSE-100 record over the entire time
of 2003 to 2007. Because of this little example just two information
sources and one yield is considered. Operating and interest costs are
taken as Input while net income as Output.
(5)
This article was published at School of Business Administration,
Morroco. It is authorized by Jawad Abrache, Samir Aguenaou, Khadija
Iraqi. In this paper a proper evaluation of efficiency of main firms listed
under CSX is made. DEA technique is used to measure the efficiency of
DMU’s.

Data has been taken from 39 firms listed under Casablanca Stock
Exchange from 2008-2011. Variables are following

Inputs:

 Assets
 Cost of sales
 Total Liabilities
 Selling & general expenses
 PPE

Outputs

 Return on Asset
• Gross Revenue
• Profit before tax
• Total Revenue
 (6)
This article is published in Department of Economics and Business,
University of Zargeb. Authors of this article are Margareta Gardijan and
Tihana Skrinjaric. They both have tried to use DEA-based portfolio
selection on the Croatian stock market and used risk and return
measures to identify efficient stocks.
The method that has been used is Data Envelopment Analysis to
evaluate the relative efficiency of Decision making units. The study
contains the data of stocks listed on stock exchange from January 2007
to June 2014. Different financial ratios are calculated to measure the
performance and then all desirable ratios are considered as outputs
and undesirable ratios are considered as inputs

(7)
This article was distributed in Capital University of Sciences and
Technology, Islamabad, Pakistan. It is written by Muhamad Khalid and
Muhammad S . Anjum. This examination analyzed the proficiency and
efficiency development of Initial public offerings (IPO's) of firms
recorded on KSX for 2000- 2012.

The techniques that has been utilized are

• (DEA)Data Envelopment Analysis.

• (MPI)Malmquist Productivity Index .

To quantify Pre IPO productivity, information was gathered from 83
test firms recorded on KSE amid the time of 2000 to 2012. In any case,
effectiveness was to be gathered for a long time so the organizations
not covering 3 years were wiped out and firms were lessened to 60.
Mean Equity, Mean Assets , Mean number of employees, mean taxes
and mean profit after tax were taken as inputs of info while mean
market value, earning per share and return to investors were
considered as yields.
(8)

This article is also submitted to Department of Management sciences,

COMSATS Institute of Information technology. It is authorized by
Muhammad Ali Asghar and Talat Afza and Mehmood Ahmed . Main
objective of this research paper was to calculate the cost efficiency of
100 Mutual Funds running in Pakistan.

Data Envelopment Analysis is the technique used to calculate this cost

efficiency. Data has been taken of 100 Mutual funds listed under
Pakistan Stock exchange from year 2005 to 2010.

Following Variables has been used

Outputs:
 Investments
 Returns

Inputs:
 Management fee
 Business Services
 Equity
 (9)

This article was published in IBS-ISCTE Business School, Department of

Quantitative Methods. It is authorized by Nuno Ferriera, Andriana
Mendonca Souza. In this study revenue efficiency levels are calculated
of different firms listed under Portuguese Stock Index.

The DEA output oriented approach is used to estimate the revenue

efficiency of each stock return. In this study data is collected from
largest 20 enterprises listed under PSI20.
Variables include

Input:
 Market return
 Market Value

Output
 Individuals Companies return

(10)

This paper is authorized by Razieh Bahrani and Nadar Khedri, in Islamic

Azad University. The aim of this company was to create efficient
portfolio of companies.

Data envelopement Analysis is used to calculate the efficiencies

of portfolios. Data has been collected from 449 companies classified in
16 industries listed under Tehran Stock Exchange.
Inputs:
 Mean assets
 Mean Salaries
 Sales Costs

Outputs:
 Income
 Operating profit