Stochastic Dominance Analysis of iShares
Wing-Keung Wong () and
J. Kenton Zumwalt
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Dominic Gasbarro: Murdoch Business School Murdoch University
J. Kenton Zumwalt: University of Western Australia Colorado State University
SCAPE Policy Research Working Paper Series from National University of Singapore, Department of Economics, SCAPE
Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio, respectively. This 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)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Pages: 37 pages
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Journal Article: Stochastic Dominance Analysis of iShares (2007)
Working Paper: Stochastic Dominance Analysis of iShares (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:sca:scaewp:0706
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