Document Type

Journal Article

Department/ Unit

Department of Economics

Abstract

Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Earlier studies provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio. This present study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares.

Publication Year

2007

Journal Title

The European Journal of Finance

Volume number

13

Issue number

1

Publisher

Taylor & Francis

First Page (page number)

89

Last Page (page number)

101

Referreed

1

ISSN (print)

1351-847X

Link to Publisher’s Edition

http://www.tandfonline.com/doi/abs/10.1080/13518470601025243

Keywords

Stochastic dominance, Sharpe ratio, skewness, country index funds

Included in

Economics Commons

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