This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Stochastic Dominance Analysis of iShares

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Dominic Gasbarro (Murdoch Business School Murdoch University)
Wing-Keung Wong () (Risk Management Institute and Department of Economics, National University of Singapore)
J. Kenton Zumwalt (University of Western Australia Colorado State University)

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.fas.nus.edu.sg/ecs/pub/wp-scape/0706.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by National University of Singapore, Department of Economics, SCAPE in its series SCAPE Policy Research Working Paper Series with number 0706.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 37 pages
Date of creation: Apr 2007
Date of revision:
Handle: RePEc:sca:scaewp:0706

Contact details of provider:
Web page: http://www.fas.nus.edu.sg/ecs/scape/index.html
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: ().

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

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Sun, Qian & Yan, Yuxing, 2003. "Skewness persistence with optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1111-1121, June. [Downloadable!] (restricted)
  2. Joy, O. Maurice & Porter, R. Burr, 1974. "Stochastic Dominance and Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(01), pages 25-31, January. [Downloadable!]
  3. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December. [Downloadable!] (restricted)
    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!]
  5. Porter, R. Burr, 1973. "An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(04), pages 587-608, September. [Downloadable!]
  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)
  8. Meyer, Jack, 1977. "Further Applications of Stochastic Dominance to Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(02), pages 235-242, June. [Downloadable!]
  9. Davidson, Russell & Duclos, Jean-Yves, 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," Cahiers de recherche 9805, Université Laval - Département d'économique. [Downloadable!]
    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)
  11. Levy, Haim & Sarnat, Marshall, 1970. "Alternative Efficiency Criteria: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 25(5), pages 1153-58, December. [Downloadable!] (restricted)
  12. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April. [Downloadable!] (restricted)
  13. William F. Sharpe, 1965. "Mutual Fund Performance," Journal of Business, University of Chicago Press, vol. 39, pages 119. [Downloadable!]
  14. Russell Davidson, 2006. "Stochastic Dominance," Departmental Working Papers 2006-19, McGill University, Department of Economics. [Downloadable!]
  15. Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January. [Downloadable!] (restricted)
  16. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September. [Downloadable!] (restricted)
  17. Hadar, Josef & Russell, William R., 1971. "Stochastic dominance and diversification," Journal of Economic Theory, Elsevier, vol. 3(3), pages 288-305, September. [Downloadable!] (restricted)
  18. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Blackwell Publishing, vol. 36(107), pages 335-46, July. [Downloadable!] (restricted)
  19. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June. [Downloadable!] (restricted)
  20. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-93, September. [Downloadable!] (restricted)
  21. Tesfatsion, Leigh, 1976. "Stochastic Dominance and the Maximization of Expected Utility," Review of Economic Studies, Blackwell Publishing, vol. 43(2), pages 301-15, June. [Downloadable!] (restricted)
  22. Anderson, Gordon, 2004. "Toward an empirical analysis of polarization," Journal of Econometrics, Elsevier, vol. 122(1), pages 1-26, September. [Downloadable!] (restricted)
  23. Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-55, March. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2009-12-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.