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96年7月17日(二) 14:00 ~15:00 P.M.
演講者姓名： Wing-Keung Wong
演講者服務單位： Risk Management Institute and Department of Economics NationalUniversity of Singapore
演講題目： Stochastic Dominance Tests for Risk Lovers: with Application to Oil Spot and Futures Markets摘要：
The stochastic dominance (SD) tests for risk averters have been established but not for risk lovers. This paper first develops the SD tests for risk lovers. We then apply the SD tests for risk averters and risk lovers to study the performance of the oil spot and futures markets in both pre-Asian-Financial-Crisis (AFC) and post-AFC sub-periods. For comparison, we also apply the mean-variance (MV) criterion and capital asset pricing model (CAPM) measures to the analysis.
Our results show that both MV criterion and CAPM measures are unable to draw any conclusive preference between the returns in any sub-period but the SD tests lead us conclude that spot dominates futures in the downside risk while futures dominate spot in the upside profit in the post-AFC sub-period. It infers that the risk-averse investors prefer investing in spot index whereas risk lovers are attracted to futures index to maximize their expected utilities in the post-AFC sub-period. In addition, our SD results enable us to conclude that there is no arbitrage opportunity between these two markets and conclude that market efficiency and market rationality could hold well in spot and futures markets for both pre- and post-AFC sub-periods. This shows the superiority of SD test over MV and CAPM measures .
