Cost Malmquist Productivity index in non competitive environment of price in Data Envelopment Analysis and the use of it in the dealings of the Iranian Stock Exchange

Advances in Mathematical Finance and Applications

مقاله 6، دوره 6، شماره 4، دی 2021، صفحه 757-767   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.1879646.1302

نویسندگان

Elham Rezaei hezaveh؛ Reza Fallahnejad^*

Department of Mathematics, Khorramabad branch, Islamic Azad University, Khorramabad, Iran

چکیده

The Malmquist Index (MI) is a tool for analyzing the productivity. Considering its importance, different suggestions and studies have been offered on the Cost Malmquist Productivity Index (CMPI) according to existing conditions of decision making units (DMUs) and the available data. The present research aimed to provide a CMPI in a non-competitive environment in which the price data changes from one evaluation unit to another. Given the deficiency of Farrel’s cost efficiency (1957) and also the cost efficiency model presented by Tone (2002), and by taking advantage of the idea of changing the productivity of DMUs at different time periods, we presented cost Malmquist Productivity Index in the presence of non-identical prices for various DMUs, Then, we evaluate the data of the Iranian Stock Exchange by aforementioned Cost Malmquist Productivity index

کلیدواژه‌ها

Data Envelopment Analysis؛ Cost efficiency؛ Malmquist Productivity Index؛ non-competitive space؛ Stock Exchange

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