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Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis
El Khamlichi, Abdelbari - 2017
This article investigates the impact of gold in portfolios in distinguishing between Islamic and conventional stocks as … the Dow Jones indexes and the London gold market over the 2002-2014 period, the results obtained show that the stochastic … hand, risk-averters prefer portfolios with gold, while risk-seekers prefer portfolios without gold. A robustness check on …
Persistent link: https://www.econbiz.de/10012963261
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Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand : A Markov Switching VAR Approach
Qiao, Zhuo - 2011
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...
Persistent link: https://www.econbiz.de/10013124196
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Panel Stochastic Dominance Test and Panel Informational Efficiency LR Test
de Peretti, Christian - 2015
This paper propose a new panel stochastic dominance (SD) test-PDD test, the asymptotic properties are derived, which extends Davidson and Duclos (DD) SD test to a panel context. The PDD test also contributes to settle one of the demerits while working with financial derivatives time series: that...
Persistent link: https://www.econbiz.de/10013022962
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Mean-Variance and Stochastic Dominance Analysis of Global Exchange-Traded Funds
Zhu, Zhen-Zhen - 2016
We employ the stochastic dominance (SD) approach that utilizes the entire return distribution to rank the performance of exchange-traded funds as traditional mean-variance and CAPM approaches may be inappropriate given the nature of non-normal returns. We find second and third-order stochastic...
Persistent link: https://www.econbiz.de/10012994867
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Stochastic Dominance and Behavior towards Risk : The Market for iShares
Gasbarro, Dominic - 2012
Prospect theory suggests that risk seeking can occur when investors face losses and thus an S-shaped utility function can be useful in explaining investor behavior. Using stochastic dominance procedures, Post and Levy (2005) find evidence of reverse S-shaped utility functions. This is consistent...
Persistent link: https://www.econbiz.de/10012712336
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China’s Stock Market Integration with a Leading Power and a Close Neighbor
Yi, Zheng - 2010
Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world, China's stock market has continued gaining...
Persistent link: https://www.econbiz.de/10013148170
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Empirical Test of the Efficiency of UK Covered Warrants Market : Stochastic Dominance and Likelihood Ratio Test Approach
Qiao, Zhuo - 2010
This paper first examines the efficiency of the UK covered warrants market by adopting a stochastic dominance (SD) approach to examine market efficiency. Our empirical analyses reveal that neither covered warrants nor the underlying shares stochastically dominate each other, which implies that...
Persistent link: https://www.econbiz.de/10013148254
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Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach
Chan, Chia-Ying; de Peretti, Christian; Qiao, Zhuo; … - In: Journal of Empirical Finance 19 (2012) 1, pp. 162-174
This paper represents the first attempt to apply a stochastic dominance (SD) approach to examine the efficiency of the UK covered warrants market. Our empirical analyses reveal that neither covered warrants nor their underlying shares stochastically dominate the other, indicating the...
Persistent link: https://www.econbiz.de/10010942981
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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
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Stochastic Dominance Analysis of iShares
Gasbarro, Dominic; Wong, Wing-Keung; Zumwalt, J. Kenton - Department of Economics, National University of Singapore - 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/10005749181