Template-type: ReDIF-Paper 1.0
Author-Name: Zhidong Bai
Author-Workplace-Name: KLASMOE and School of Mathematics and Statistics, Northeast Normal University,
	Department of Statistics and Applied Probability and Risk Management Institute, National University of Singapore
Author-Name: Hua Li
Author-Workplace-Name: Department of Statistics and Applied Probability, National University of Singapore
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Author-Name: Wing-Keung Wong
Author-Workplace-Name: Department of Economics, Hong Kong Baptist University
Title: Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences
	for USA and China
Abstract: We derive the limiting process of the stochastic dominance statistics for
	risk averters as well as for risk seekers when the underlying processes might be dependent
	or independent. We take account of the dependency of the partitions and propose a
	bootstrap method to decide the critical point. In addition, we illustrate the applicability
	of the stochastic dominance statistics for both risk averters and risk seekers to analyze the
	dominance relationship between the Chinese and US stock markets in the entire period
	as well as the sub-periods before and after the ¯nancial crises, including the internet
	bubble and the recent sub-prime crisis. The ¯ndings could be used to draw inferences on
	the preferences of risk averters and risk seekers in investing in the Chinese and US stock
	markets. The results also enable us to examine whether there is any arbitrage opportunity
	in these markets and whether these markets are e±cient and investors are rational.
Classification-JEL: C12, G1, G12, G15
Keywords: Stochastic dominance, risk aversion, risk seeking, test statistic, hypothesis testing.
Note: Acknowledgments: This research is partially supported by Northeast Normal University, National University
	of Singapore, Research Grants Council of Hong Kong, and Hong Kong Baptist University.
	The third author wishes to acknowledge the ¯nancial support of the Australian Research
	Council, National Science Council, Taiwan, and the Japan Society for the Promotion of
	Science. The fourth author would like to thank Professors Robert B. Miller and Howard
	E. Thompson for their continuous guidance and encouragement.
Length: 42 pages 
Creation-Date: 2012-06 
Number: 2012-13 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1213.txt
File-URL: https://eprints.ucm.es/id/eprint/15556/1/1213.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1213