A Study on the Investing Performance of Asian Major Stock Market Indexes: An Application of Stochastic Dominance Approach

• Main Authors: Sheng-Hua Lin, 林勝樺
• Other Authors: Pai-Lung Chou
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/38886342521651565334

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 101 === This research investigated the investing performance of Asian stock markets by applying Barrett and Donald’s stochastic dominance rule (2003). The datasets included main stock market indices of eight Asian countries or regions, namely Japan, Korea, Shanghai, Singapore, Taiwan, Hong Kong, Thailand and Vietnam. This paper defined the determination basis as rate of return based on the variation of indices, and attempts to explore investing performance of Asian stock markets prior and post financial tsunami. In order to enhance the application of this research results, the robustness analysis was adopted by the cut-off point defined as financial tsunami. The research period was from September 1, 2007 to August 31, 2011, and the financial tsunami could be defined on September 1, 2009. The empirical results demonstrated that Thailand stock market index performed better stable return than other indices of Japan, Shanghai, Hong Kong and Vietnam after the financial tsunami. Furthermore, these domestic investors preferred risk aversion should diversify their risk and portfolio with the combination of domestic and Thailand stock market indices.