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• W2268049440 abstract "We explore how the volatility affects both the level and variability of cost efficiency of Taiwanese and Chinese banks. Two volatility measures are used in this study: the banks' return on assets (ROA) volatility for a proxy of accounting-based volatility, and the stock return realized volatility for a proxy of market-based volatility. This paper adopts Wang's (2002) heteroscedastic stochastic frontier model to estimate banks' cost efficiency as well as the marginal effects of volatility measures on inefficiency effect. Our empirical results show that both ROA and stock return volatility significantly affect the level and variability of inefficiency effect. The results are consistent with the prediction that a lower efficiency and higher variations in efficiency are likely to occur with a higher volatility in ROA. In addition, we find a non-monotonic effect of stock return volatility on the level of cost efficiency, indicating that return volatility could benefit cost efficiency in lower level of volatility but damages efficiency as the volatility is too high." @default.
• W2268049440 created "2016-06-24" @default.
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• W2268049440 date "2010-09-01" @default.
• W2268049440 modified "2023-10-07" @default.
• W2268049440 title "Volatility and Efficiency in a Heteroscedastic Stochastic Frontier Model: The Case of Taiwan and China Banks" @default.
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• W2268049440 doi "https://doi.org/10.7086/tjae.201009.0117" @default.
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