Stochastic Dominance Analysis of iShares

Dominic Gasbarro, Wing-Keung Wong and J. Kenton Zumwalt

The European Journal of Finance, 2007, vol. 13, issue 1, 89-101

Abstract: Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Earlier studies provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio. This present study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares.

Keywords: Stochastic dominance; Sharpe ratio; skewness; country index funds (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (81)

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DOI: 10.1080/13518470601025243

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