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Stochastic Dominance Analysis of iShares

Gasbarro, Dominic; Wong, Wing-Keung; Zumwalt, J. Kenton - East Asian Bureau of Economic Research (EABER) - 2007

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....

Persistent link: https://www.econbiz.de/10009365418

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2013

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...

Persistent link: https://www.econbiz.de/10010698691

Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches

Chiang, Thomas C.; Lean, Hooi Hooi; Wong, Wing-Keung - In: Journal of Risk and Financial Management 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is … stocks than in real estate, but real estate, in turn, is preferable to fixed-income assets. …

Persistent link: https://www.econbiz.de/10010699155

Stochastic dominance relationships between stock and stock index futures markets: International evidence

Qiao, Zhuo; Wong, Wing-Keung; Fung, Joseph K.W. - In: Economic Modelling 33 (2013) C, pp. 552-559

In this paper, we first modify the stochastic dominance (SD) test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers. We then adopt both tests to examine the SD relationships between stock indices and their corresponding index futures for 10 countries....

Persistent link: https://www.econbiz.de/10010737986

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

McAleer, Michael; Lean, Hooi Hooi; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 2013

Persistent link: https://www.econbiz.de/10010862565

Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China

McAleer, Michael; Bai, Zhidong; Li, Hua; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 2012

We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...

Persistent link: https://www.econbiz.de/10010862569

Stochastic dominance analysis of CTA funds

Lean, Hooi; Phoon, Kok; Wong, Wing-Keung - In: Review of Quantitative Finance and Accounting 40 (2013) 1, pp. 155-170

In this paper, we employ the stochastic dominance (SD) approach to rank the performance of commodity trading advisors (CTA) funds. An advantage of this approach is that it alleviates the problems that can arise if CTA returns are not normally distributed by utilizing the entire returns...

Persistent link: https://www.econbiz.de/10010867741

Investor preferences for oil spot and futures based on mean-variance and stochastic dominance

McAleer, Michael; Wong, Wing-Keung; Lean, Lean, H.H. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk...

Persistent link: https://www.econbiz.de/10010837855

Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

McAleer, Michael; Wong, Wing-Keung; Lean, Lean, H.H. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both market...

Persistent link: https://www.econbiz.de/10010837933

The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions

Lean, Hooi-Hooi; Wong, Wing-Keung; Zhang, Xibin - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 1, pp. 30-48

Testing for stochastic dominance among distributions is an important issue in the study of asset management, income … stochastic dominance in income distributions, Econometrica 64 (1996) 1183–1193]. In addition, we find that when the underlying …

Persistent link: https://www.econbiz.de/10010749300