Empirical Tests for Stochastic Dominance Efficiency on Taiwan stock market

• Main Authors: Chih-shie Tsai, 蔡志協
• Other Authors: Rex Chen
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/29883333070677899421

碩士 === 義守大學 === 財務金融學系碩士班 === 93 === This article tests comparable for stochastic dominance efficiency form two different model. To leave each other, one stochastic dominance efficiency test, another is the second degree stochastic dominance test from linear programming of Taiwan stock market (Post, 2003). Both of method have the same theory for stochastic dominance, its different to Post, he take linear programming into consider, its empirical test use strict inequality to select stock just different to tradition definition. Our research focus on the stock of Taiwan 50, in addition to second degree stochastic dominance efficiency for stock, we also test the second degree stochastic dominance efficiency for market portfolio and index. Furthermore, we derive theory proof of stochastic dominance in our article. The conclusion present as follows: 1.There are 27 stocks in the FSD efficiency portfolio, however, there are 14 stocks in the SSD efficiency portfolio, finally, there are 2 stocks in the TSD efficiency portfolio: foxconn and csc. And we find the market index is in FSD, SSD, and TSD efficiency portfolio. 2.In the SSD efficiency test (Post, 2003), there are 29 stocks, but just 2 stocks(csc and foxconn) is match SSD efficiency. 3.From our ten portfolios and market portfolio take Post’s method which SSD efficiency test .We find only P9 and P10 are correspondence to SSD efficiency, but market portfolio don’t match SSD efficiency.