Investors' preference towards risk: evidence from the Taiwan stock and stock index futures markets

Article


Qiao, Z., Clark, E. and Wong, W. 2014. Investors' preference towards risk: evidence from the Taiwan stock and stock index futures markets. Accounting and Finance. 54 (1), pp. 251-274. https://doi.org/10.1111/j.1467-629X.2012.00508.x
TypeArticle
TitleInvestors' preference towards risk: evidence from the Taiwan stock and stock index futures markets
AuthorsQiao, Z., Clark, E. and Wong, W.
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.

PublisherWiley
JournalAccounting and Finance
ISSN0810-5391
Electronic1467-629X
Publication dates
Online26 Sep 2012
Print03 Mar 2014
Publication process dates
Deposited03 Jun 2013
Accepted01 Jul 2012
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1111/j.1467-629X.2012.00508.x
LanguageEnglish
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