Adopting a MS-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two...

This study examines the impact of the Shanghai–Hong Kong Stock Connect on the degree of financial integration between the Hong Kong stock market and the Shanghai and Shenzhen stock markets in mainland China. By applying cointegration tests and linear and nonlinear Granger causality techniques...

In recent years, Mongolian and Chinese relationship is becoming stronger. China is the biggest trading partner that it takes 84% of total Mongolian export and the largest country that invests in our mining sector, which is the main export, is China. Tourists from China are also growing and...

The current optimal strategy for ASEAN countries is to assess whether the necessary environments exist for the establishment of a well-integrated common financial market for the ASEAN area, and consequently support for a single currency. The currency is for discussion purposes termed the ASEAN...

In this paper, we analyze the impacts of joint energy and output prices uncertainties on the inputs demands in a mean-variance framework. We find that an increase in expected output price will surely cause the risk averse firm to increase the inputs’ demand, while an increase in expected...

Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio, respectively....

Testing for stochastic dominance among distributions is an important issue in the study of asset management, income inequality, and market efficiency. This paper conducts Monte Carlo simulations to examine the sizes and powers of several commonly used stochastic dominance tests when the...

Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng et al. (2013) modified it to give another definition. This note provides more...

Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance,...

In this paper we first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.