WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 11, 2014
Dominance Among Financial Markets
Authors: Sergio Ortobelli Lozza, Tomas Tichy, Filomena Petronio
Abstract: In this paper, we deal and evaluate the comparison problem among different financial markets using risk/variability measures consistent with investors’ preferences. First, we recall a recent classification of multivariate stochastic orderings consistent with preferences and we properly define the selection problem among different financial markets. Secondly, we propose an empirical financial application where multivariate stochastic orderings consistent with the non-satiable and risk averse investors’ preferences are applied to compare and evaluate the possible dominance among the most developed market in the world (the US stock market) and two European markets (the German stock market and the UK stock market). In this context, we propose an ex-ante and an ex-post evaluation of the dominance among country stock markets. Moreover, in both cases we evaluate the dominance, considering the “oldest” and “youngest” firms of selected countries over previous decade.
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Pages: 707-717
WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 11, 2014, Art. #66