@article{d8fee5506c66496e8dbe9cd83fa833e8,
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 stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes are 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 analyse the dominance relationship between the Chinese and US stock markets in the entire period as well as the sub-periods before and after the crises, including the internet bubble and the recent sub-prime crisis. The findings 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 are arbitrage opportunities in these markets, and whether these markets are efficient and investors are rational.",
keywords = "Hypothesis testing, Risk aversion, Risk-seeking, Stochastic dominance, Test statistic",
author = "Zhidong Bai and Hua Li and Michael McAleer and Wong, {Wing Keung}",
note = "Funding Information: The authors are grateful to Michael Dempster, the Editor-in-Chief, and anonymous referees for substantive comments that have significantly improved this manuscript. The first author acknowledges the financial support by NSF China 11171057, Program for Changjiang Scholars and Innovative Research Team in University, and the Fundamental Research Funds for the Central Universities. The second author would like to acknowledge the financial support of the Natural Science Fund (No.201215113) of Jilin Provincial Science and Technology Department, China, the Fund of Department of Ji Lin Province, China (No. 2010-7-2011) and {\textquoteleft}Twelve and Five{\textquoteright} Science and Technology Study of Department of Education of Ji Lin Province, China (Ji Jiao Ke He Zi [2014] No.272); and fund of Department of Education of Ji Lin Province, China ([2010] No.160). The third author wishes to acknowledge the financial 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 and acknowledge support of General Research Fund 12502814 from Research Grants Council of Hong Kong and research grants FRG2/13-14/048, FRG1/13-14/032, and 40-49-214 from Hong Kong Baptist University.",
year = "2015",
month = may,
day = "4",
doi = "10.1080/14697688.2014.943273",
language = "English",
volume = "15",
pages = "889--900",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Taylor and Francis",
number = "5",
}