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Stochastic Dominance Analysis of iShares

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  • Dominic Gasbarro

    (Murdoch University, NUS, Colorado State University)

  • Wing-Keung Wong
  • J. Kenton Zumwalt

Abstract

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. This 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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Bibliographic Info

Paper provided by East Asian Bureau of Economic Research in its series Finance Working Papers with number 21919.

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Date of creation: Apr 2007
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Handle: RePEc:eab:financ:21919

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Postal: JG Crawford Building #13, Asia Pacific School of Economics and Government, Australian National University, ACT 0200
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Keywords: stochastic dominance; Sharpe ratio; skewness; country index funds;

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