Investors' preference towards risk: evidence from the Taiwan stock and stock index futures markets
Qiao, Zhuo, Clark, Ephraim A. and Wong, Wing-Keung (2014) Investors' preference towards risk: evidence from the Taiwan stock and stock index futures markets. Accounting & Finance, 54 (1) . pp. 251-274. ISSN 0810-5391 [Article] (doi:10.1111/j.1467-629X.2012.00508.x)
Abstract
We apply the stochastic dominance (SD) tests proposed by Linton et al. (2005) and Davidson and Duclos (2000) for risk averters and risk seekers to examine investors’ preferences with respect to the Taiwan stock index and its corresponding index futures. We find that there is no first-order SD relationship between Taiwan spot and futures. However, for second- and third-order SD, we find that spot dominates futures for risk averters whereas futures dominates spot for risk seekers. The implication is that to maximize their expected utilities, risk averters prefer to buy stocks, whereas risk seekers prefer long index futures.
| Item Type: | Article |
|---|---|
| Research Areas: | A. > Business School > Accounting and Finance |
| Item ID: | 10764 |
| Useful Links: | |
| Depositing User: | Alison Roache |
| Date Deposited: | 03 Jun 2013 08:08 |
| Last Modified: | 17 Apr 2019 12:45 |
| URI: | https://eprints.mdx.ac.uk/id/eprint/10764 |
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