Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality

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Authors
Knight, John
Satchell, Stephen E.
Publication Date
2004-06-16
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Language
en_GB
Type
Working Paper
Metadata
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Citation
Knight, J., & Satchell, S. E. (2004). Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality. https://doi.org/10.17863/CAM.5032
Abstract
The authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using data on the SP 500 and the FTALL-Share, it is shown that the US displays infinite degree stochastic dominance over the UK.
Keywords
Classification-JEL: C12, C44, D61, Stochastic dominance, Inequality, Proper risk aversion
Identifiers
This record's DOI: https://doi.org/10.17863/CAM.5032
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/422https://www.repository.cam.ac.uk/handle/1810/422
Rights
All Rights Reserved
Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/
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