THEORIES OF RISK: TESTING INVESTOR BEHAVIOR ON THE TAIWAN STOCK AND STOCK INDEX FUTURES MARKETS.
This article considers four utility functions-concave, convex, S-shaped, and reverse S-shaped-to analyze the behavior of different types of investors on the Taiwan stock index and its corresponding index futures. Using stochastic dominance (SD) rules, we show that the existence of all four investor...
| Publicado en: | Economic Inquiry Vol. 54; no. 2; pp. 907 - 925 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Apr2016
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=113307277&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 113307277 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: Y pubinfo: dt: Apr2016 vid: 54 iid: 2 pid: 480 pub: Wiley-Blackwell artinfo: ui: 113307277 10.1111/ecin.12288 ppf: 907 ppct: 18 formats: fmt: – @attributes: type: T – @attributes: type: P size: 478KB tig: atl: THEORIES OF RISK: TESTING INVESTOR BEHAVIOR ON THE TAIWAN STOCK AND STOCK INDEX FUTURES MARKETS. aug: au: Clark, Ephraim Qiao, Zhuo Wong, Wing ‐ Keung affil: Professor, Middlesex University Business School, London UK Associate Professor, Faculty of Business Administration, University of Macau, Macau China Professor, Department of Economics, Hong Kong Baptist University, Hong Kong Hong Kong su: Taiwan Stock index futures Attitudes of capitalists & financiers Utility functions Utility theory Stochastic dominance sug: subj: Taiwan Stock index futures Attitudes of capitalists & financiers Utility functions Utility theory Stochastic dominance ab: This article considers four utility functions-concave, convex, S-shaped, and reverse S-shaped-to analyze the behavior of different types of investors on the Taiwan stock index and its corresponding index futures. Using stochastic dominance (SD) rules, we show that the existence of all four investor types is plausible. Risk averters prefer spot to futures, whereas risk seekers prefer futures to spot. Investors with S-shaped utility functions prefer spot (futures) to futures (spot) when markets move upward (downward). Investors with reverse S-shaped utility functions prefer futures (spot) to spot (futures) when markets move upward (downward). We show that both spot and futures markets can exist when only risk averters are present, but futures can dominate spot only if there is some risk-seeking behavior. These results are robust with respect to subperiods, spot returns including dividends, and diversification. ( JEL C14, G12, G15) pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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