Eurasian Business Review. v. 7, pp. 287–311. Abstract: This paper uses a two-stage data envelopment analysis to examine bank efficiency in Malaysia. In the first stage, we use meta-frontier technology to address bank heterogeneity-bank nature (Islamic vs. conventional banks) and bank ownership (local vs. foreign banks). Using a data set of 43 Malaysian commercial banks, the application of meta-frontier enables us to compare the existence of inefficiency among Malaysian banks because of their business nature and ownership. In doing so, we empirically demonstrate that using different approaches (i.e., production, profitability, and intermediation) for calculating bank efficiency can give significant contradictory results in efficiency scores. In the second stage, we use Simar and Wilson’s double bootstrap regression to estimate the determinants of efficiency in Malaysian banks. This helps to achieve valid inference even in the presence of unknown serial correlation in the meta-frontier efficiency scores. The results from double bootstrap regression confirm that bank ownership, bank nature and gross domestic product have significant influence on bank efficiency. This study reveals that Islamic banks have outperformed. The frontier results reveal that local Islamic banks have moved towards the group technology and foreign Islamic banks have taken the lead in country frontier technology.