Template-type: ReDIF-Paper 1.0
Author-Name: Hooi Hooi Lean
Author-Workplace-Name: Economics Program School of Social Sciences Universiti Sains Malaysia
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: Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Abstract: This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures 
	prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The 
	MV findings cannot distinguish between the preferences of spot and futures markets. However, 
	the SD tests show that spot dominates futures in the downside risk, while futures dominate spot 
	in the upside profit. On the other hand, the SD findings suggest that spot dominates futures in 
	downside risk, while futures dominate spot in upside profit. Risk-averse investors prefer 
	investing in the spot index. Risk seekers are attracted to the futures index to maximize their 
	expected utility but not expected wealth in the entire period, as well as for both the OPEC and 
	Iraq War sub-periods. The SD findings show that there is no arbitrage opportunity between the 
	spot and futures markets, and these markets are not rejected as being efficient. 

Classification-JEL: C14, G12, G15.
Keywords: Stochastic dominance, mean-variance, risk averter, risk seeker, futures market, spot market.
Note: The second author wishes to acknowledge the financial support of the Australian Research 
	Council and the National Science Council, Taiwan. The third author would like to thank Robert B. 
	Miller and Howard E. Thompson for their continuous guidance and encouragement, and to 
	acknowledge the financial support from Hong Kong Baptist University and Research Grants 
	Council (RGC) of Hong Kong. 
Length: 31 pages 
Creation-Date: 2013 
Revision-Date: 2013-08 
Number: 2013-31 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1331.txt
File-URL: https://eprints.ucm.es/id/eprint/22728/1/1331.pdf
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Handle: RePEc:ucm:doicae:1331