SSD efficiency at multiple data frequencies: Application on the OECD countries

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

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

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 investors without a strict requirement in asset distribution. In this study, 33 OECD country indexes and their enriched set of assets, which consists of some combinations of these indexes, are investigated and compared between 2007 and 2015 by utilizing pairwise SSD comparisons, with different data frequencies, such as daily, weekly, monthly and quarterly. This paper contributes to the literature in 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, when the data frequency is lowered, the difference between two SSD pairwise efficiency tests decreases.

Original languageEnglish
Pages (from-to)169-195
Number of pages27
JournalPrague Economic Papers
Volume27
Issue number2
DOIs
Publication statusPublished - 2018

Bibliographical note

Publisher Copyright:
© 2018, University of Economics - Prague. All rights reserved.

Keywords

  • Data frequency
  • OECD indexes
  • Pairwise comparisons
  • SSD pairwise efficiency
  • Second order stochastic dominance

Fingerprint

Dive into the research topics of 'SSD efficiency at multiple data frequencies: Application on the OECD countries'. Together they form a unique fingerprint.

Cite this