This study evaluates the technical efficiency, productivity change of financial companies listed in Malaysian stock exchange (Bursa Malaysia) and examines the effects of productivity change on efficiency over the period 2007–2016. Moreover, this study also concentrates on the ranking of financial companies according to their efficiency score. Data Envelopment Analysis is utilized on a Malmquist Productivity Index in order to calculate the financial companies’ efficiency scores. The results of this study show that APX, JOH, ECML, MAA, BURSA, ACSM, and LPI were fully efficient companies. The result implied that these companies were in optimal control of their inputs or resources to generate maximum outputs. Also, the results indicate a tremendous productivity gain was mostly because of a positive shift in frontier technology and technical efficiency. Common misspecification problems observed that instability of efficiency scores over productivity.