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Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach
Lean, Hooi Hooi; Smyth, Russell; Wong, Wing-Keung - In: Journal of Multinational Financial Management 17 (2007) 2, pp. 125-141
Persistent link: https://www.econbiz.de/10005183834
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Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach
Lean, Hooi Hooi; Smyth, Russell; Wong, Wing-Keung - In: Journal of multinational financial management 17 (2007) 2, pp. 125-141
Persistent link: https://www.econbiz.de/10007607125
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Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach
Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - In: Energy Economics 32 (2010) 5, pp. 979-986
This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil...
Persistent link: https://www.econbiz.de/10008863722
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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
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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-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...
Persistent link: https://www.econbiz.de/10010699155
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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
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/10010862565
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Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Institute of Economic Research, Kyoto University - 2011
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/10008790033
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Is Gold Good for Portfolio Diversification? A Stochastic Dominance Analysis of the Paris Stock Exchange
Hoang, Thi Hong Van; Lean, Hooi Hooi; Wong, Wing-Keung - Association Française de Cliométrie - AFC - 2013
Persistent link: https://www.econbiz.de/10010875716
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Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010
This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil...
Persistent link: https://www.econbiz.de/10008516068
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Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Center for Advanced Research in Finance, Faculty of … - 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 ofspot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk...
Persistent link: https://www.econbiz.de/10008519614