The study investigates the extent to which mergers lead to efficiency. The data covers the period 1993-2004, which includes the pre- and post-merger years. This study attempts to evaluate technical efficiency, efficiency change, technical change, and productivity of commercial banks, finance companies, and merchant banks by using a non-parametric Data Envelopment Analysis (DEA) and Malmquist Index approach as the framework for the analyses. It is found that: (i) on an average, productivity across banking institutions increased at an annual rate of 5.8% over the study period; (ii) the results also indicate that almost all of the productivity growth comes from technical change rather than improvement in efficiency change, which contributes to 6.1% of productivity growth, while the latter accounted for 0.2% decline; and (iii) the merger process led to productivity improvements whereby it is observed that the productivity of Malaysia's banking sector has been improved after the implementation of merger program.