Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis
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Chang Sik Kim
This paper examines the spatial dominance of Korean stock market returns before and after the East Asian financial crisis around 1997. The spatial analysis developed by Park (2006) gives a new tool to test the distributional dominance of one process over the other even under nonstationarity. Extending the notion of well-developed stochastic dominance to the nonstationary time series whose distributions are time-varying, the existence of spatial dominances in Korean stock market returns is investigated. We find the evidence that the cumulative return distributions of Korean stock market index before the crisis spatially dominate the distributions after the crisis in the short term investments, and the dominance gets weaker as the investment period gets longer.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Articles in the same Issue
- Article
- Changes in U.S. Inflation Persistence
- A Non-Parametric Investigation of Risk Premia
- Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies
- Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis
- Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates
Articles in the same Issue
- Article
- Changes in U.S. Inflation Persistence
- A Non-Parametric Investigation of Risk Premia
- Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies
- Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis
- Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates
