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Item type:Publication, Stochastic scale elasticity(Springer Science+Business Media, 2021-12-11)To analyze the performance of firms (decision-making units, DMUs) in the literature, several economic concepts such as economies of scale (returns to scale, RTS), economies of scope, marginal rates of technical substitutions, etc., have been used. Banker et al. (2004) studied RTS in different DEA models. In this chapter, however, we concentrate on determining and measuring RTS. Scale elasticity (SE) is a quantitative measure of the RTS characterization of the firms operating on the production frontier, which is used to determine improvement or deterioration in their productivities by resizing their scales of operation. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Stochastic data envelopment analysis(Springer Science+Business Media, 2021-12-11)In traditional DEA models, the technologies are developed using the premise that inputs and outputs are precisely measured and are, therefore, deterministic. However, in practical situations, the general production processes are often stochastic. The stochastic production relationship in a DEA setting may arise in different situations, for example, when stochastic variations in inputs and outputs affect the production frontier; when inputs and outputs are faced with stochastic prices while measuring allocative efficiency; when the slacks obtained from the DEA efficiency frontier are analyzed in terms of their statistical distribution; when an economic method is applied to estimate the stochastic production frontier; etc. (Sengupta, 1990). Over the last two decades, many researchers have proposed DEA-based models with stochastic data. Sengupta (2000) applied a stochastic DEA model using mathematical expectations for random inputs and outputs. Banker (1993) added statistical elements to DEA and developed an approach aimed at influencing statistical noise in inference. Many studies (e.g., Cooper et al., 1996, 1998; Land et al., 1993; Olesen & Petersen, 1995, 2016) have introduced chance-constrained programming in DEA to accommodate random changes in data. Banker (1986) proposed a related semi-parametric stochastic frontier analysis (SFA) based on a minimization of the sum of the absolute value of all composed error terms. For parametric and semi-parametric models, see Banker (1989, 1996), Banker and Chang (1995), Banker et al. (1994, 2015), and Banker and Maindiratta (1992). Additional approaches and applications can be found in Charles and Cornillier (2017), Charles and Udhayakumar (2012), Charles et al. (2018), Grosskopf (1996), Horrace and Schmidt (1996), Simar (1996), Simar and Wilson (1998), and Udhayakumar et al. (2011), among others. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Herding behavior in the Chinese stock market and the impact of COVID-19(Universidad de Chile, 2022-12-01)We analyze herding behavior in the Chinese stock markets in the context of the COVID-19 pandemic using the cross-sectional absolute deviation (CSAD) model proposed by We consider stock prices for all firms listed (A-shares) on the Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study and that herding behavior becomes stronger after December 31, 2019 (the COVID-19 event date). We also study herding activity in the context of potential asymmetries in market return and volatility states. The results show that when the market return is high and the volatility is low, there is a more predominant herding behavior trend. Our results do not depend on using different time windows. Results do not change when time-varying coefficients are considered using rolling regressions. Other control variables which may be relevant in explaining CSAD do not change the results when included in the estimations. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The asymmetric inflation dynamics in LATAM: Evidence from a quantile regression approach(RELX Group (Netherlands), 2024-01-01)