Futures versus Stocks: A Stochastic Dominance Study in Malaysian Markets

Lien, Donald; Wong, Wing-Keung

doi:10.2139/ssrn.1406132

Cited by 10 publications

(9 citation statements)

References 74 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…There are many studies that have applied stochastic dominance tests to test for market efficiency and check whether there is any anomaly in the market (for example, Fong et al (2005Fong et al ( , 2008, Wong et al (2006, Lean et al (2007Lean et al ( , 2010aLean et al ( , 2010bLean et al ( , 2013Lean et al ( , 2015, Gasbarro et al (2007Gasbarro et al ( , 2012, Wong (2007), Chiang et al (2008), Abid et al (2009Abid et al ( , 2013Abid et al ( , 2014, Qiao et al (2010Qiao et al ( , 2012Qiao et al ( , 2013, , Qiao and Wong (2015), Hoang et al (2015aHoang et al ( , 2015bHoang et al ( , 2018Hoang et al ( , 2019, Tsang et al (2016), Mroua et al (2017), Bouri et al (2018), and Valenzuela et al (2019), among others).…”

Section: Stochastic Dominance Tests and Applicationsmentioning

confidence: 99%

“…There are many applications of using risk measures and performance measures to test for market efficiency, and check whether there is any anomaly in the market. Examples include Sharpe (1966), Keating and Shadwick (2002), Kaplan and Knowles (2004), Broll et al (2006Broll et al ( , 2011Broll et al ( , 2015, Wong et al ( , 2018a, Leung and Wong (2008a), Fong et al (2008), Abid et al (2009Abid et al ( , 2013Abid et al ( , 2014, Qiao et al (2010Qiao et al ( , 2012Qiao et al ( , 2013, Lean et al (2010aLean et al ( , 2010bLean et al ( , 2013Lean et al ( , 2015, Homm and Pigorsch (2012), Chan et al ( , 2019aChan et al ( , 2019b, Bai et al (2013), Qiao and Wong (2015), Hoang et al (2015aHoang et al ( , 2015bHoang et al ( , 2018Hoang et al ( , 2019, Tsang et al (2016), Guo et al (2017bGuo et al ( , 2019a, Mroua et al (2017), Niu et al (2017), Bouri et al (2018), and Chow et al (2019b), among others.…”

Section: Applications Of Risk Measures and Performance Measuresmentioning

confidence: 99%

See 1 more Smart Citation

Review on Efficiency and Anomalies in Stock Markets

Woo

Mai²,

McAleer

et al. 2020

Economies

Self Cite

View full text Add to dashboard Cite

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review different market anomalies and different theories of Behavioral Finance that could be used to explain such market anomalies. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and Behavioral Finance underlie. The review is also beneficial to investors for making choices of investment products and strategies that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and Behavioral Finance are used to explain the impacts of investor behavior on stock price movements, it is invaluable to policy makers, when reviewing their policies, to avoid excessive fluctuations in stock markets.

show abstract

Section: Stochastic Dominance Tests and Applicationsmentioning

confidence: 99%

Section: Applications Of Risk Measures and Performance Measuresmentioning

confidence: 99%

Review on Efficiency and Anomalies in Stock Markets

Woo

Mai²,

McAleer

et al. 2020

Economies

Self Cite

View full text Add to dashboard Cite

show abstract

“…There are many applications of using risk measures and performance measures to test for market efficiency, and check whether there is any anomaly in the market. Examples include Sharpe (1966), , Kaplan and Knowles (2004), Broll et al (2006Broll et al ( , 2011Broll et al ( , 2015, Wong et al ( , 2018a, Leung and Wong (2008a), Fong et al (2008), Abid et al (2009Abid et al ( , 2013Abid et al ( , 2014, Qiao et al (2010Qiao et al ( , 2013, Lean et al (2010aLean et al ( , 2010bLean et al ( , 2013Lean et al ( , 2015, , Chan et al ( , 2019aChan et al ( , 2019b, Bai et al (2013), , Hoang et al (2015aHoang et al ( , 2015bHoang et al ( , 2018Hoang et al ( , 2019, , Guo et al (2017bGuo et al ( , 2019a, Mroua et al (2017), , Bouri et al (2018), andChow et al (2019b), among others.…”

Section: Applications Of Risk Measures and Performance Measuresmentioning

confidence: 99%

Efficiency and Anomalies in Stock Markets

2022

View full text Add to dashboard Cite

Commons Attribution (CC BY) license, which allows users to download, copy and build upon published articles, as long as the author and publisher are properly credited, which ensures maximum dissemination and a wider impact of our publications. About the EditorProfessor Wing-Keung Wong obtained his Ph.D. from the University of Wisconsin-Madison, the USA with a major in Business Statistics (Statistics and Finance) and obtained his Bachelor degree from the

show abstract

“…Pendekatan stochastic dominance (SD) di kembangkan oleh Hadar dan Russel (1969), Hanoch dan Levy (1969) dan Whitemore (1970). Pendekatan ini memasukan semua informasi suatu distribusi return saham, tidak hanya memasukkan informasi mean dan variance (Lean et al, 2010). Menurut Strong (2003, SD dapat digunakan sebagai teknik untuk membentuk portofolio dan membantu mengevaluasinya.…”

Section: Stochastic Dominanceunclassified

Studi Komparatif Kinerja Saham Syariah Dan Konvesional Di Indonesia Dengan Pendekatan Stochastic Dominance

Utomo

2021

segmen

View full text Add to dashboard Cite

ABSTRAKPenelitian komparatif kinerja saham syariah dan saham konvensional ini dilakukan untuk menguji perbedaan kinerja saham syariah dan saham konvensional di Indonesia dalam periode keseluruhan, periode non krisis dan periode krisis. Penelitian ini menggunakan metode stochastic dominance (SD) model Davidson Duclos (2000). Uji parametrik dengan parameter Rasio Sharpe, Indeks Treynor dan Alpha Jensen dilakukan sebagai uji pembanding. Robustness check dilakukan dengan membentuk portofolio dengan firm size, rasio book to market (B/M) dan Beta yang berbeda. Sampel penelitian menggunakan saham murni syariah dan saham murni konvensional Indonesia. Screening saham syariah menggunakan Daftar Efek Syariah (DES). Periode penelitian dilakukan selama 10 tahun.Hasil penelitian menunjukan bahwa kinerja saham syariah mendominasi (outperform) kinerja saham konvensional pada periode keseluruhan dan periode non krisis. Pada periode krisis ekonomi global kinerja saham syariah menurun sehingga kinerja saham syariah sama dengan kinerja saham konvensional. Hasil penelitian ini bermanfaat bagi investor secara umum dan investor syariah secara khusus. Investor syariah dapat berinvestasi pada saham yang sesuai dengan prinsip syariah dan mendapatan return yang kompetitif. Adapun investor secara umum dapat melakukan diversifikasi portofolionya dengan lebih baik dan dapat meningkatkan expected wealth dan expected utilities-nyaKata Kunci: Saham Syariah, Saham Konvensional, Stochastic Dominance

show abstract

Futures versus Stocks: A Stochastic Dominance Study in Malaysian Markets

Cited by 10 publications

References 74 publications

Review on Efficiency and Anomalies in Stock Markets

Review on Efficiency and Anomalies in Stock Markets

Efficiency and Anomalies in Stock Markets

Studi Komparatif Kinerja Saham Syariah Dan Konvesional Di Indonesia Dengan Pendekatan Stochastic Dominance

Contact Info

Product

Resources

About