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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...

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Publicado en:Economic Inquiry Vol. 54; no. 2; pp. 907 - 925
Autores principales: Clark, Ephraim, Qiao, Zhuo, Wong, Wing ‐ Keung
Formato: Artículo
Publicado: Wiley-Blackwell Apr2016
Materias:
Taiwan
Stock index futures
Attitudes of capitalists & financiers
Utility functions
Utility theory
Stochastic dominance
Acceso en línea:Ver este registro en EBSCOhost