Preference to Oil Spot or Oil Futures for Risk-Seekers

• Main Authors: Hooi , Hooi Lean, Michael , McAleer, Wing , Keung Wong
• Format: Conference or Workshop Item
• Language: English
• Published: Universiti Sains Malaysia 2006
• Subjects: H Social Sciences
• Online Access: http://eprints.usm.my/30827/1/Preference_to_Oil_Spot_or_Oil_Futures_for_Risk_Seekers.pdf; http://eprints.usm.my/30827/
• Institution: Universiti Sains Malaysia

This paper develops the stochastic dominance (SD) tests for risk seekers, We find both MV criterion and CAPM mesures unable to draw any conclusive preference between the returns but our SD results show that spot dominates futures in the downside risk while futures dominate spot in the upside profit....