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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; Peretti, Christian de; Qiao, Zhuo; … - In: Journal of empirical finance 19 (2012) 1, pp. 162-174

Persistent link: https://www.econbiz.de/10009615744

Investors' preference towards risk : evidence from the Taiwan stock and stock index futures markets

Qiao, Zhuo; Clark, Ephraim; Wong, Wing Keung - In: Accounting and finance : journal of the Accounting … 54 (2014) 1, pp. 251-274

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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), pp. 552-559

Persistent link: https://www.econbiz.de/10010193326

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

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

The value premium puzzle, behavior versus risk : new evidence from China

Clark, Ephraim; Qiao, Zhuo - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 12-21

Persistent link: https://www.econbiz.de/10012417053

Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?

Qiao, Zhuo; Pukthuanthong, Kuntara - In: Finance research letters 28 (2019), pp. 39-44

Persistent link: https://www.econbiz.de/10012388002

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Moment conditions for Almost Stochastic Dominance

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Is Bitcoin a better portfolio diversifier than gold? : a copula and sectoral analysis for China

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Persistent link: https://www.econbiz.de/10012803931