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Risk-averse and risk-seeking investor preferences for oil spot and futurues
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010198257
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Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Lean, Hooi Hooi; McAleer, Michael - 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/10010326252
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Risk-averse and risk-seeking investor preferences for oil spot and futures
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010191274
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Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - In: International review of economics & finance : IREF 40 (2015), pp. 204-216
Persistent link: https://www.econbiz.de/10011573581
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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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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/10010907429
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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
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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
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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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Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College 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 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/10008552168