Journal of Financial Markets ( IF 2.1 ) Pub Date : 2021-06-28 , DOI: 10.1016/j.finmar.2021.100660 Olga Kolokolova , Olivier Le Courtois , Xia Xu
We conduct a broad study of stochastic dominance efficiency on financial markets. We show that in the long run the vast majority of 17 equity market indices across the globe are inefficient at order two relative to their industry components. In the short run, the past stochastic dominance relation between the index and sub-indices predicts future dominance. Trading rules accounting for the predictability of stochastic dominance improve the out-of-sample certainty equivalents of risk-averse investors. The gains are especially pronounced for European and developing markets, while no consistent outperformance of alternative strategies is found for the S&P 100 and Nikkei 225 indices.
中文翻译:
索引是否有效?具有随机优势的全球巡回演出
我们对金融市场上的随机支配效率进行了广泛的研究。我们表明,从长远来看,全球 17 个股票市场指数中的绝大多数相对于其行业成分而言在二阶效率低下。在短期内,指数和子指数之间的过去随机优势关系预测未来的优势。考虑到随机优势的可预测性的交易规则提高了风险厌恶投资者的样本外确定性等价物。欧洲和发展中市场的收益尤其明显,而标准普尔 100 指数和日经 225 指数没有发现替代策略的一致表现。