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Investors’ preference towards risk: Evidence from the Taiwan stock and stock index futures markets
Zhuo Qiao1; Ephraim Clark2; Wing‐Keung Wong3
2012-07-01
Source PublicationAccounting and Finance
ISSN1467-629X
Volume54Pages:251–274
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.

KeywordStochastic Dominance Risk Seeker Utility Maximization Stock Index Futures Risk Averter
DOIhttps://doi.org/10.1111/j.1467-629X.2012.00508.x
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000332063800011
PublisherWILEY-BLACKWELL, 111 RIVER ST, HOBOKEN 07030-5774, NJ USA
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Cited Times [WOS]:13   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Faculty of Business Administration, University of Macau, Macau, China
2.Middlesex University and SKEMA-Univ Lille Nord de France, Lille, France
3.Department of Economics, Hong Kong Baptist University, Hong Kong, China
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Zhuo Qiao,Ephraim Clark,Wing‐Keung Wong. Investors’ preference towards risk: Evidence from the Taiwan stock and stock index futures markets[J]. Accounting and Finance,2012,54:251–274.
APA Zhuo Qiao,Ephraim Clark,&Wing‐Keung Wong.(2012).Investors’ preference towards risk: Evidence from the Taiwan stock and stock index futures markets.Accounting and Finance,54,251–274.
MLA Zhuo Qiao,et al."Investors’ preference towards risk: Evidence from the Taiwan stock and stock index futures markets".Accounting and Finance 54(2012):251–274.
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