RSA and DSA using both exponentiation to generate the signature. This is what costs the most time, so they will basically have the same complexity. But the difference is the key length.
In cryptography you try to choose as small keys as possible, but big enough to get the security you want.
RSA needs quite long keys, sth. like 2048 bit or bigger.
DSA has one short (about 256 bit) and one long key (about 2048 bit). The exponent will be not bigger than the short key.
So for DSA you have to compute a 2048 bit number to the power of a 256 bit number (modulo a other number) and for RSA you have to compute a 2048 bit number to the power of an other 2048 bit number.
This is why RSA is much slower than DSA.
Notice: If you choose for DSA a short key of length 2048 bit, it will be as slow as RSA.