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Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan

Author

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  • Jiro Hodoshima

    (Nagoya University of Commerce and Business)

  • Toshiyuki Yamawake

    (Nagoya University of Commerce and Business)

Abstract

We evaluate stock market indexes by the Aumann–Serrano (AS) performance index for multi-period gambles and one-period gambles and the Sharpe ratio. Our results show the AS performance index is more distinct for multi-period gambles than for one-period gambles in evaluation of the Japanese stock market indexes. In other words, a favorable evaluation score as compared to the Sharpe ratio becomes even better in multi-period gambles than in one-period gambles while an unfavorable evaluation score compared to the Sharpe ratio becomes even worse in multi-period gambles than in one-period gambles.

Suggested Citation

  • Jiro Hodoshima & Toshiyuki Yamawake, 2022. "Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 171-193, June.
    • Handle: RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09343-7
    DOI: 10.1007/s10690-021-09343-7
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    References listed on IDEAS

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