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Stochastic Dominance Analysis of iShares

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Author Info
Dominic Gasbarro
Wing-Keung Wong
J. Kenton Zumwalt

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Abstract

Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Earlier studies provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio. This present study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 13 (2007)
Issue (Month): 1 (January)
Pages: 89-101
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Handle: RePEc:taf:eurjfi:v:13:y:2007:i:1:p:89-101

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Related research
Keywords: Stochastic dominance; Sharpe ratio; skewness; country index funds;

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References listed on IDEAS
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    Other versions:
  4. Y.K. Tse & Xibin Zhang, 2003. "A Monte Carlo Investigation of Some Tests for Stochastic Dominance," Monash Econometrics and Business Statistics Working Papers 7/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  6. Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," Cowles Foundation Discussion Papers 1356, Cowles Foundation, Yale University, revised Mar 2002. [Downloadable!]
    Other versions:
  7. Jarrow, Robert, 1986. " The Relationship between Arbitrage and First Order Stochastic Dominance," Journal of Finance, American Finance Association, vol. 41(4), pages 915-21, September. [Downloadable!] (restricted)
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    Other versions:
  10. Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March. [Downloadable!] (restricted)
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