Please use this identifier to cite or link to this item:
https://scholarbank.nus.edu.sg/handle/10635/14461
DC Field | Value | |
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dc.title | Stochastic dominance in stock market | |
dc.contributor.author | LEAN HOOI HOOI | |
dc.date.accessioned | 2010-04-08T10:43:25Z | |
dc.date.available | 2010-04-08T10:43:25Z | |
dc.date.issued | 2005-01-07 | |
dc.identifier.citation | LEAN HOOI HOOI (2005-01-07). Stochastic dominance in stock market. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/14461 | |
dc.description.abstract | Stochastic Dominance (SD) tests are important in the study of empirical finance and economics. Chapter 2 of this thesis examines the size- and power performance on the three commonly used SD tests: the Davidson-Duclos test, the Anderson test and the Kaur-Rao-Singh test when the underlying distributions are correlated, and either homoskedastic or heteroskedastic, by applying the Monte Carlo simulation. Chapter 3 of this thesis re-examines the profitability of momentum strategy in international stock markets using the SD approach. Specifically, the objective of this chapter is to distinguish the hypothesis that there exist general asset pricing models that can be used to explain the momentum effect. Chapter 4 examines whether the new economy dominates the old economy or vice versa using the SD approach. The consistency of investorsa?? enthusiasm for Internet stocks in recent years and their utility maximization are investigated. | |
dc.language.iso | en | |
dc.subject | Stochastic Dominance, Monte Carlo simulation, momentum strategy, stock markets, Internet stocks, utility maximization | |
dc.type | Thesis | |
dc.contributor.department | ECONOMICS | |
dc.contributor.supervisor | WONG WING KEUNG | |
dc.contributor.supervisor | MUKHOPADHAYA, PUNDARIKAKSHA | |
dc.description.degree | Ph.D | |
dc.description.degreeconferred | DOCTOR OF PHILOSOPHY | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Ph.D Theses (Open) |
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Files in This Item:
File | Description | Size | Format | Access Settings | Version | |
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00Chap.pdf | 34.57 kB | Adobe PDF | OPEN | None | View/Download | |
01Chap.pdf | 21.94 kB | Adobe PDF | OPEN | None | View/Download | |
02Chap.pdf | 317.55 kB | Adobe PDF | OPEN | None | View/Download | |
03Chap.pdf | 299.13 kB | Adobe PDF | OPEN | None | View/Download | |
04Chap.pdf | 240.21 kB | Adobe PDF | OPEN | None | View/Download |
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