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Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
http://hdl.handle.net/2261/35790
http://hdl.handle.net/2261/35790572a5eca-75a6-4d41-b4e3-edb6001fdb90
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stochastic dominance | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk averter | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk seeker | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | futures market | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | spot market | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classifications: C14, G12, G15. | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Lean, Hooi Hooi
× Lean, Hooi Hooi× McAleer, Michael× Wong, Wing-Keung |
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| 著者所属 | ||||||
| 著者所属 | School of Social Sciences, Universiti Sains Malaysia | |||||
| 著者所属 | ||||||
| 著者所属 | Erasmus School of Economics, Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute, The Netherlands | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Economics and Finance, University of Canterbury, New Zealand | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Economics, Hong Kong Baptist University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk while futures dominate spot in the upside profit. It is also found that risk-averse investors prefer investing in the spot index, whereas risk seekers are attracted to the futures index to maximize their expected utilities. In addition, the SD results suggest that there is no arbitrage opportunity between these two markets. Market efficiency and market rationality are likely to hold in the oil spot and futures markets | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-744, 発行日 2010-05 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf744ab.html | |||||
