Evaluating Relative and Integrated Efficiency of the Stock Market: NDEA Approach

Several studies have used the data envelopment analysis method in the field of portfolio optimization or efficiency evaluation of companies listed on the Tehran Stock Exchange, but less attention has been paid to the network data envelopment analysis method and indicators simultaneously derived from technical and fundamental analysis. Therefore, considering the importance of the issue, the purpose of this article is to evaluate the relative and integrated efficiency of the Tehran Stock Exchange using "production process" and "financial production process" with the approaches of Fundamental Analysis (FA) and Technical Analysis (TA). To achieve this, the network data envelopment analysis model (NDEA) was used for the period 2014-2021. In addition, FAHP and SOCP are developed, respectively, to determine the weights of the first and second stages and to solve the nonlinear problem in the AED model. In addition, the efficiency of the year 2021 is predicted based on the efficiency values of the previous years by using simple regression analysis. The results showed: the production process is more important in defining the overall efficiency of a company; there is a significant difference in the efficiency distribution among different industries; Kh-Sapa and Khodro achieved 100% overall efficiency and the Technical and Engineering Services industry achieved the highest overall efficiency; the predicted efficiency values are very close to the actual efficiency values in 2021. Based on the results, it is suggested that investors pay more attention to the fundamental analysis in order to create an investment portfolio. Additionally, focus more on the companies with higher first and second stage efficiency, since they are investment proposals.