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SSD Efficiency at Multiple Data Frequencies: Application on the OECD Countries

Author

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  • Umut Ugurlu
  • Oktay Tas
  • Celal Barkan Guran
  • Aysun Guran

Abstract

The second order stochastic dominance (SSD) has become exceedingly popular in recent years,due to its ability to determine the dominance of one asset over another for all risk-averse investorswithout a strict requirement in asset distribution. In this study, 33 OECD country indexes and theirenriched set of assets, which consists of some combinations of these indexes, are investigatedand compared between 2007 and 2015 by utilizing pairwise SSD comparisons, with different datafrequencies, such as daily, weekly, monthly and quarterly. This paper contributes to the literaturein three points: Firstly, a serious portion of the best performing OECD countries has the lowest GDP(PPP) per capita level. Secondly, the SSD efficient set depends on data frequency. Thirdly, whenthe data frequency is lowered, the difference between two SSD pairwise efficiency tests decreases.

Suggested Citation

  • Umut Ugurlu & Oktay Tas & Celal Barkan Guran & Aysun Guran, 2018. "SSD Efficiency at Multiple Data Frequencies: Application on the OECD Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(2), pages 169-195.
    • Handle: RePEc:prg:jnlpep:v:2018:y:2018:i:2:id:649:p:169-195
    DOI: 10.18267/j.pep.649
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    References listed on IDEAS

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    1. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
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    3. Kopa, Miloš & Post, Thierry, 2009. "A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(5), pages 1103-1124, October.
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    More about this item

    Keywords

    second order stochastic dominance; SSD pairwise efficiency; pairwise comparisons; data frequency; OECD indexes;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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