The present study focuses on measuring the efficiency performance of the banking and investment sectors in the Bahrain Bourse, using a non-parametric technique – data envelopment analysis (DEA) in the period (2009-2013). The study uses the two models of the DEA with an inputs-oriented measure which considers how inputs may be reduced relative to a desired output level. The first model measures the overall technical efficiency by measuring the constant return to scale model whereas the second model measures the variable returns to scale. The results of the DEA are obtained through a software programme namely DEAP 2.1 version.