SSD Efficiency at Multiple Data Frequencies: Application on the OECD Countries

Umut Ugurlu, Oktay Tas, Celal Barkan Guran and Aysun Guran

Prague Economic Papers, 2018, vol. 2018, issue 2, 169-195

Abstract: The second order stochastic dominance (SSD) has become exceedingly popular in recent years,due to its ability to determine the dominance of one asset over another for all risk-averse investorswithout a strict requirement in asset distribution. In this study, 33 OECD country indexes and theirenriched set of assets, which consists of some combinations of these indexes, are investigatedand compared between 2007 and 2015 by utilizing pairwise SSD comparisons, with different datafrequencies, such as daily, weekly, monthly and quarterly. This paper contributes to the literaturein three points: Firstly, a serious portion of the best performing OECD countries has the lowest GDP(PPP) per capita level. Secondly, the SSD efficient set depends on data frequency. Thirdly, whenthe data frequency is lowered, the difference between two SSD pairwise efficiency tests decreases.

Keywords: second order stochastic dominance; SSD pairwise efficiency; pairwise comparisons; data frequency; OECD indexes (search for similar items in EconPapers)
JEL-codes: C61 G11 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://pep.vse.cz/doi/10.18267/j.pep.649.html (text/html)
http://pep.vse.cz/doi/10.18267/j.pep.649.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:prg:jnlpep:v:2018:y:2018:i:2:id:649:p:169-195

Ordering information: This journal article can be ordered from
Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
http://pep.vse.cz

DOI: 10.18267/j.pep.649

Access Statistics for this article

Prague Economic Papers is currently edited by Klára Pavlová

More articles in Prague Economic Papers from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().