Wing-Keung Wong

Asia University, Department of Finance

Chair Professor

Taiwan

Taiwan

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SCHOLARLY PAPERS

109

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CITATIONS
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319

Scholarly Papers (109)

1.

Making Markowitz's Portfolio Optimization Theory Practically Useful

Number of pages: 45 Posted: 08 May 2006 Last Revised: 08 Oct 2016
Zhidong Bai, Huixia Liu and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 2,444 (3,398)

Abstract:

Optimal Portfolio Allocation, Mean-Variance Optimization, Large Random Matrix, Bootstrap Method

Was There Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks?

Number of pages: 46 Posted: 15 Apr 2010 Last Revised: 09 Jan 2013
Wing-Keung Wong, Howard E. Thompson and Kweehong Teh
Asia University, Department of Finance, University of Wisconsin - Madison - School of Business and National University of Singapore (NUS)
Downloads 917 (19,714)
Citation 1

Abstract:

9-11 Attacks, Put Options, Call Options, SPX Index, Student’s T-Statistics, Non-Parametric Statistics

Was There Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks?

Multinational Finance Journal, Vol. 15, No. 3/4, p. 1-46, 2011
Number of pages: 46 Posted: 25 Jun 2015
Wing-Keung Wong, Howard E. Thompson and Kweehong Teh
Asia University, Department of Finance, University of Wisconsin - Madison - School of Business and National University of Singapore (NUS)
Downloads 10 (525,754)
Citation 1
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Abstract:

9-11 attacks; put options; call options; SPX index, Student's t-statistics; non-parametric statistics

3.

Financial Astrology: Mapping the Presidential Election Cycle in US Stock Markets

Number of pages: 27 Posted: 26 Nov 2008
Wing-Keung Wong and Michael McAleer
Asia University, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 728 (21,849)
Citation 5

Abstract:

Presidential election cycle, spectral analysis, EGARCH intervention model, stock prices and returns

4.

Automated Trading with Genetic-Algorithm Neural-Network Risk Cybernetics: An Application on FX Markets

Finamatrix Journal, February 2012
Number of pages: 28 Posted: 05 Oct 2010 Last Revised: 08 Aug 2015
Lanz Chan and Wing-Keung Wong
Finamatrix Investments Pte. Ltd. and Asia University, Department of Finance
Downloads 598 (14,991)
Citation 1

Abstract:

Automation, Autobot, Genetic-Algorithm Neural-Network, Risk-Pricing, Risk Cybernetics, Expert Advisor

5.

Evolution of Dollar/Euro Exchange Rate Before and After the Birth of Euro and Policy Implications

Number of pages: 24 Posted: 17 Aug 2006
Chen Heng, Dietrich Fausten and Wing-Keung Wong
National University of Singapore - Department of Economics, Monash University - Department of Economics and Asia University, Department of Finance
Downloads 590 (36,166)

Abstract:

Euro, Exchange rate, Monetary model, Cointegration

6.

Stochastic Dominance Test for Risk Seekers: An Application to Oil Spot and Futures Markets

Number of pages: 42 Posted: 17 Jul 2006
Hooi Hooi Lean, Wing-Keung Wong and Michael McAleer
Universiti Sains Malaysia, Asia University, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 525 (41,922)

Abstract:

stochastic dominance, risk averter, risk seeker, futures market, spot market

7.

A Quantitative Behavioral Model and its Implications for Market Volatility, Underreaction, and Overreaction

Number of pages: 41 Posted: 07 Aug 2008
Kin Lam, Taisheng and Wing-Keung Wong
Hong Kong Baptist University (HKBU), Hong Kong Baptist University (HKBU) and Asia University, Department of Finance
Downloads 516 (40,364)

Abstract:

Bayesian model, representative and conservative heuristics, underreaction, overreaction, stock price, stock return

8.

The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches

Number of pages: 29 Posted: 08 Feb 2010 Last Revised: 15 Feb 2010
Fathi Abid, Mourad Mroua and Wing-Keung Wong
University of Sfax - Faculty of Economics and Management (FSEGS), University of Sfax and Asia University, Department of Finance
Downloads 487 (42,022)
Citation 3

Abstract:

Writing covered call option, Buying protective put option, portfolios management, mean-variance approach, nonparametric stochastic dominance test

9.

Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VAR and C-Var

Number of pages: 49 Posted: 08 Jun 2006 Last Revised: 31 May 2010
Wing-Keung Wong and Chenghu Ma
Asia University, Department of Finance and Fudan University - School of Management
Downloads 473 (44,184)
Citation 16

Abstract:

downside risk, value-at-risk, conditional-VaR, stochastic dominance, utility

10.

Asset Performance Evaluation with the Mean-Variance Ratio

Number of pages: 29 Posted: 08 May 2006 Last Revised: 20 Oct 2016
Zhidong Bai, Kok Fai Phoon, Keyan Wang and Wing-Keung Wong
Northeast Normal University, SIM University, Northeast Normal University and Asia University, Department of Finance
Downloads 460 (48,243)

Abstract:

Sharpe ratio, performance hypothesis testing, Normal distribution, uniformly most powerful unbiased test, CTA funds

11.

Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach

Number of pages: 30 Posted: 18 Jan 2010
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
Universiti Sains Malaysia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 401 (57,952)
Citation 11

Abstract:

Stochastic dominance, risk averter, oil futures market, market efficiency

12.

On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares

Number of pages: 32 Posted: 08 Jun 2006 Last Revised: 27 Apr 2010
Pui-lam Leung and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Asia University, Department of Finance
Downloads 390 (48,131)
Citation 25

Abstract:

MANOVA, Asymptotic distribution, delta-method, iShares

13.

Multivariate Linear and Non-Linear Causality Tests

Number of pages: 25 Posted: 22 May 2009 Last Revised: 22 Jul 2010
Zhidong Bai, Bingzhi Zhang and Wing-Keung Wong
Northeast Normal University, Columbia University-Department of BioStatistics and Asia University, Department of Finance
Downloads 368 (63,817)
Citation 6

Abstract:

linear Granger, causality, nonlinear Granger causality, U-statistics

14.

Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches

Drexel College of Business Research Paper No. 2008-03
Number of pages: 43 Posted: 07 Jan 2008
Thomas Chinan Chiang, Hooi Hooi Lean and Wing-Keung Wong
Drexel University - Department of Finance, Universiti Sains Malaysia and Asia University, Department of Finance
Downloads 335 (71,906)

Abstract:

stochastic dominance, risk, REITs, stock, fixed-income assets,

15.

An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test

Number of pages: 13 Posted: 04 Feb 2009 Last Revised: 07 Feb 2009
Zhidong Bai, Keyan Wong and Wing-Keung Wong
Northeast Normal University, National University of Singapore (NUS) and Asia University, Department of Finance
Downloads 303 (79,665)
Citation 1

Abstract:

Sharpe ratio, mean-variance ratio, test statistics, hypothesis testing, uniformly most powerful unbiased test

16.

An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Practically Useful

Number of pages: 30 Posted: 16 May 2009 Last Revised: 23 Aug 2010
Pui-lam Leung, Hon-Yip Ng and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Chinese University of Hong Kong (CUHK) and Asia University, Department of Finance
Downloads 293 (83,833)
Citation 3

Abstract:

Markowitz mean-variance optimization, Estimation of optimal portfolio weights, Inverted Wishart distribution, Consistency.

17.

Prospect and Markowitz Stochastic Dominance

Number of pages: 50 Posted: 26 Aug 2005
Wing-Keung Wong and Raymond Honfu Chan
Asia University, Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Mathematics
Downloads 269 (93,132)
Citation 32

Abstract:

Prospect stochastic dominance, Markowitz stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function

18.

Does International Diversification Substitute Home Bias : An Application of a Non Parametric Stochastic Dominance Approach

Number of pages: 32 Posted: 23 Apr 2007 Last Revised: 23 Feb 2010
Fathi Abid, Mourad Mroua and Wing-Keung Wong
University of Sfax - Faculty of Economics and Management (FSEGS), University of Sfax and Asia University, Department of Finance
Downloads 267 (92,021)

Abstract:

Home bias, International diversification, Non-parametric stochastic dominance approach, Monte Carlo and Bootstrap p-values.stochastic dominance approach, Monte Carlo and Bootstrap p-values

19.

Expert Advisor Development on MT4/MT5 for Automated Algorithmic Trading on EURUSD M1 Data

Finamatrix Journal, September 2013
Number of pages: 4 Posted: 02 Sep 2013 Last Revised: 20 Jun 2014
Lanz Chan and Wing-Keung Wong
Finamatrix Investments Pte. Ltd. and Asia University, Department of Finance
Downloads 266 (50,110)

Abstract:

expert advisor, automated algorithms, metatrader, quantitative trading

20.

Mean-Variance Ratio Test, a Complement of Coefficients of Variation Test and Sharpe Ratio Test

Number of pages: 14 Posted: 12 Mar 2010
Zhidong Bai, Keyan Wang and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 257 (91,622)
Citation 5

Abstract:

Coefficient of variation, Sharpe ratio, mean-variance ratio, test statistic, hypothesis testing, uniformly most powerful unbiased test

21.

Money, Interest Rate, and Stock Prices: New Evidence from Singapore and the United States

U21Global Working Paper No. 007/2005
Number of pages: 28 Posted: 17 May 2010
Wing-Keung Wong, Habibullah Khan and Jun Du
Asia University, Department of Finance, U21Global Graduate School and affiliation not provided to SSRN
Downloads 250 (83,833)
Citation 4

Abstract:

Macroeconomic variables, Cointegration tests, Stock prices, Singapore, United States

22.

Estimation of Cost of Capital and its Reliability

Number of pages: 39 Posted: 01 Mar 2010 Last Revised: 08 Aug 2017
Wing-Keung Wong
Asia University, Department of Finance
Downloads 239 (97,581)
Citation 16

Abstract:

Cost of Capital, Reliability, Dividend, Stock Price, Time Series Analysis

23.

New Evidence on the Relation between Return Volatility and Trading Volume

Number of pages: 26 Posted: 20 Jun 2010
Thomas Chinan Chiang, Zhuo Qiao and Wing-Keung Wong
Drexel University - Department of Finance, University of Macau and Asia University, Department of Finance
Downloads 233 (100,817)
Citation 6

Abstract:

Return Volatility, Trading Volume, Nonlinear Granger Causality, High Frequency Data

24.

An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment

Number of pages: 32 Posted: 07 Dec 2011 Last Revised: 20 Oct 2016
Pui-lam Leung, Hon-Yip Ng and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Chinese University of Hong Kong (CUHK) and Asia University, Department of Finance
Downloads 232 (87,161)
Citation 1

Abstract:

Markowitz mean-variance optimization, estimation of optimal portfolio weights, inverted wishart distribution, consistency

25.

Gains from Diversification: A Majorization and Stochastic Dominance Approach

Number of pages: 21 Posted: 12 Mar 2008
Martin Egozcue and Wing-Keung Wong
Universidad de la Republica and Asia University, Department of Finance
Downloads 211 (112,162)
Citation 9

Abstract:

majorization, stochastic dominance, portfolio selection, expected utility, diversification

26.

Do Investors Like to Diversify? A Study of Markowitz Preferences

Number of pages: 16 Posted: 06 Feb 2009 Last Revised: 23 May 2011
Universidad de la Republica, University of Lleida, Asia University, Department of Finance and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 208 (120,482)
Citation 8

Abstract:

Diversification, stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function

27.

Robust Estimation and Forecasting of the Capital Asset Pricing Model

Number of pages: 24 Posted: 11 Aug 2010 Last Revised: 17 Nov 2010
Guorui Bian, Michael McAleer and Wing-Keung Wong
East China Normal University (ECNU), Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 201 (127,261)

Abstract:

Maximum Likelihood Estimators, Modified Maximum Likelihood Estimators, Student’s T Family, Capital Asset Pricing Model, Robustness

28.

Prospect Theory, Indifference Curves, and Hedging Risks

Number of pages: 13 Posted: 12 Jun 2010
Udo Broll, Martin Egozcue, Ricardas Zitikis and Wing-Keung Wong
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la Republica, University of Western Ontario - Department of Statistical and Actuarial Sciences and Asia University, Department of Finance
Downloads 201 (113,634)
Citation 16

Abstract:

Prospect theory, mean-variance model, indifference curve, production output, price uncertainty, hedging, contango, backwardation

29.

On the Markowitz Mean-Variance Analysis of Self-Financing Portfolios

Number of pages: 21 Posted: 19 Oct 2006 Last Revised: 18 Aug 2016
Zhidong Bai, Huixia Liu and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 192 (128,511)
Citation 18

Abstract:

Self-Financing Portfolios, Optimal Portfolio Allocation, Mean-Variance Optimization, Large Random Matrix, Bootstrap Method

30.

Proposal for the Possible Establishment of an ASEAN Dollar

Number of pages: 32 Posted: 07 Feb 2004
Aman Agarwal, Jack H.W. Penm and Wing-Keung Wong
IIF Business School (IIFBS), Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Asia University, Department of Finance
Downloads 192 (127,261)

Abstract:

ASEAN Dollar, Convergence Criteria, Financial market integration

Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 02 Oct 2010
Zhidong Bai, Huixia Liu, Wing-Keung Wong and Hua Li
Northeast Normal University, Northeast Normal University, Asia University, Department of Finance and Northeast Normal University
Downloads 187 (136,664)
Citation 11

Abstract:

Prospect stochastic dominance, Markowitz stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function, test statistics, hypothesis testing

32.

A New Pseudo-Bayesian Model with Implications to Financial Anomalies and Investors’ Behaviors

Number of pages: 41 Posted: 19 May 2010 Last Revised: 21 Dec 2010
Kin Lam, Taisheng and Wing-Keung Wong
Hong Kong Baptist University (HKBU), Hong Kong Baptist University (HKBU) and Asia University, Department of Finance
Downloads 175 (124,921)
Citation 12

Abstract:

Bayesian model, Representative and conservative heuristics, Underreaction, Overreaction, Stock price, Stock return

33.

Does the US IT Stock Market Dominate Other IT Stock Markets: Evidence from Multivariate GARCH Model

Number of pages: 19 Posted: 15 Aug 2006
Zhuo Qiao, Venus Khim-Sen Liew and Wing-Keung Wong
University of Macau, Universiti Malaysia Sarawak and Asia University, Department of Finance
Downloads 169 (145,227)
Citation 4

Abstract:

Volatility, Information Technology, Stock markets, Multivariate GARCH, IT Bubble

34.

A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model

Number of pages: 28 Posted: 02 Feb 2010 Last Revised: 03 Sep 2012
Eric Fung, Ching-Wah Ho, Tak-Kuen Siu and Wing-Keung Wong
Hong Kong Baptist University (HKBU) - Department of Mathematics, affiliation not provided to SSRN, Macquarie University, Faculty of Business and Economics and Asia University, Department of Finance
Downloads 168 (136,033)

Abstract:

Stochastic Volatility, Bayesian Method, Markov Chain Quasi-Monte Carlo Method, Low Discrepancy Sequences, High-Dimensional Integrals, Deterministic Error Bound

35.

Multivariate Causality Tests with Simulation and Application

Number of pages: 30 Posted: 18 Jun 2010 Last Revised: 20 Jun 2010
Zhidong Bai, Bingzhi Zhang, Heng Li and Wing-Keung Wong
Northeast Normal University, Columbia University-Department of BioStatistics, Hong Kong Baptist University (HKBU) - Department of Mathematics and Asia University, Department of Finance
Downloads 167 (144,483)

Abstract:

linear Granger Causality, Nonlinear Granger Causality, U-Statistics, Simulation, Stock Markets

36.

A Trinomial Test for Paired Data When There are Many Ties

Number of pages: 17 Posted: 27 May 2009 Last Revised: 12 Feb 2010
Guorui Bian, Michael McAleer and Wing-Keung Wong
East China Normal University (ECNU), Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 163 (128,511)

Abstract:

Sign test, trinomial test, non-parametric test, ties, test statistics, hypothesis testing

37.

Multivariate Stochastic Dominance for Risk Averters and Risk Seekers

Number of pages: 27 Posted: 27 Aug 2010 Last Revised: 14 Sep 2013
Wing-Keung Wong
Asia University, Department of Finance
Downloads 157 (148,327)

Abstract:

Multivariate stochastic dominance, risk averters, risk seekers, ascending stochastic dominance, descending stochastic dominance, utility function

38.

China’s Stock Market Integration with a Leading Power and a Close Neighbor

Number of pages: 38 Posted: 07 Feb 2010
Zheng Yi, Heng Chen Sr. and Wing-Keung Wong
affiliation not provided to SSRN, affiliation not provided to SSRN and Asia University, Department of Finance
Downloads 154 (157,121)
Citation 1

Abstract:

Stock markets, Cointegration, FIVECM and MGARCH

39.

A Note on the Stochastic Dominance Test Statistics

Number of pages: 25 Posted: 24 Jun 2009
Zhidong Bai and Wing-Keung Wong
Northeast Normal University and Asia University, Department of Finance
Downloads 154 (149,867)
Citation 4

Abstract:

stochastic dominance, risk aversion, test statistics, hypothesis testing

Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?

Multinational Finance Journal, 5(1), 59-86, 2001
Number of pages: 28 Posted: 11 Jan 2013
Wing-Keung Wong, Boon-Kiat Chew and Douglas Sikorski
Asia University, Department of Finance, Independent Economic Analysis (Holdings) Limited and National University of Singapore (NUS)
Downloads 104 (221,500)
Citation 2

Abstract:

yield differential, standardized yield differential, E/P ratio, bond yield, interest rate

Can the Forecasts Generated from E/P Ratio and Bond Yield Be Used to Beat Stock Markets?

Multinational Finance Journal, Vol. 5, No. 1, p. 59-86, 2001
Number of pages: 28 Posted: 08 Jul 2015
Wing-Keung Wong, Boon-Kiat Chew and Douglas Sikorski
Asia University, Department of Finance, Independent Economic Analysis (Holdings) Limited and National University of Singapore (NUS)
Downloads 47 (348,519)
Citation 2
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Abstract:

bond yield; E/P ratio; interest rate; standardized yield differential; yield differential

41.

Three-Factor Profile Analysis

Number of pages: 15 Posted: 08 Jun 2006
Pui-lam Leung and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Asia University, Department of Finance
Downloads 143 (168,917)
Citation 1

Abstract:

ANOVA, MANOVA, time dependence, profile analysis, treatment, American Depository Receipts

42.

Segregation and Integration: A Study of the Behaviors of Investors with Extended Value Functions

Number of pages: 15 Posted: 22 Mar 2009 Last Revised: 02 Jun 2010
Martin Egozcue and Wing-Keung Wong
Universidad de la Republica and Asia University, Department of Finance
Downloads 140 (169,853)

Abstract:

Prospect theory, mental accounting, hedonic editing model, value function, segregation, integration, decision making, preference reversals

43.

Automated Gold Trading with MT4

Wong Manyat, Chan LCWJ and Wong WK (2014) Automated Gold Trading with MT4. Finamatrix Journal, Jun 2014.
Number of pages: 6 Posted: 25 Jun 2014 Last Revised: 21 Apr 2015
Manyat Wong, Lanz Chan and Wing-Keung Wong
Finamatrix Investments Pte. Ltd., Finamatrix Investments Pte. Ltd. and Asia University, Department of Finance
Downloads 138 (103,867)

Abstract:

gold trading, expert advisor, automated algorithms, metatrader, quantitative trading, black box

44.

Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Number of pages: 39 Posted: 26 Aug 2012 Last Revised: 25 Jan 2016
Michael McAleer, John Suen and Wing-Keung Wong
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, The Chinese University of Hong Kong (CUHK) - Faculty of Science and Asia University, Department of Finance
Downloads 135 (148,327)

Abstract:

technical analysis, moving average, buy-and-hold strategy, dot-com bubble, Asian Financial crisis, subprime crisis, moving linear regression, volatility, bubble

45.

Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach

Number of pages: 33 Posted: 21 Feb 2010
Zhuo Qiao, Weiwei Qiao and Wing-Keung Wong
University of Macau, affiliation not provided to SSRN and Asia University, Department of Finance
Downloads 134 (169,853)

Abstract:

Markov-Switching ARCH Model, Volatility, Market Segmentation, China Stock Markets

46.

Prospect Theory and Hedging Risks

Dresden Discussion Paper in Economics No. 5/10
Number of pages: 24 Posted: 12 Jun 2010
Udo Broll, Martin Egozcue, Wing-Keung Wong and Ricardas Zitikis
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la Republica, Asia University, Department of Finance and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 128 (183,030)
Citation 9

Abstract:

Prospect theory, mean-variance model, indifference curve, price uncertainty, hedging

47.

Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach

Number of pages: 24 Posted: 22 Dec 2010
Wing-Keung Wong, Weiwei Qiao and Zhuo Qiao
Asia University, Department of Finance, affiliation not provided to SSRN and University of Macau
Downloads 126 (170,814)

Abstract:

Day-of-the-week effect, Mean-variance criterion, Stochastic dominance, Chinese stock markets

48.

Does International Diversification Substitute for Home Bias?

Number of pages: 30 Posted: 11 Oct 2010 Last Revised: 22 Nov 2010
Wing-Keung Wong, Fathi Abid and Mourad Mroua
Asia University, Department of Finance, University of Sfax - Faculty of Economics and Management (FSEGS) and University of Sfax
Downloads 125 (181,933)
Citation 1

Abstract:

Home Bias, International Diversification, Mean-Variance Portfolio Optimization, Stochastic Dominance, Monte Carlo and Bootstrap P-Values

49.

Preferences over Meyer's Location-Scale Family

Number of pages: 45 Posted: 30 Aug 2005
Wing-Keung Wong and Chenghu Ma
Asia University, Department of Finance and Fudan University - School of Management
Downloads 123 (187,625)
Citation 35

Abstract:

location-scale family, utility functions, indifference curves, stochastic dominance,

50.

Stochastic Dominance and Behavior towards Risk: The Market for iShares

Number of pages: 26 Posted: 22 Mar 2009 Last Revised: 19 Jan 2012
Dominic Gasbarro, Wing-Keung Wong and J. Kenton Zumwalt
Murdoch University, Asia University, Department of Finance and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 122 (181,933)

Abstract:

stochastic dominance; risk aversion, risk seeking

51.

Empirical Test of the Efficiency of UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach

Number of pages: 45 Posted: 03 Feb 2010
University of Macau, affiliation not provided to SSRN, Yuan-Ze University - Department of Finance and Asia University, Department of Finance
Downloads 119 (194,726)
Citation 7

Abstract:

Stochastic dominance, Market efficiency, Covered warrants, Bootstrap

52.

Futures versus Stocks: A Stochastic Dominance Study in Malaysian Markets

Number of pages: 35 Posted: 17 May 2009 Last Revised: 21 Mar 2012
Hooi Hooi Lean, Donald D. Lien and Wing-Keung Wong
Universiti Sains Malaysia, University of Texas at San Antonio - College of Business - Department of Economics and Asia University, Department of Finance
Downloads 116 (180,891)
Citation 1

Abstract:

stochastic dominance, index futures, arbitrage opportunity, Malaysian

53.

Portfolios Resampling and International Diversification: A Non-Parametric Stochastic Dominance Approach

Number of pages: 35 Posted: 02 May 2011
Mourad Mroua, Fathi Abid and Wing-Keung Wong
University of Sfax, University of Sfax - Faculty of Economics and Management (FSEGS) and Asia University, Department of Finance
Downloads 115 (189,991)

Abstract:

Optimal portfolios choices, Estimation Errors, Portfolio Resampling, Non parametric stochastic dominance approach, Monte Carlo and bootstrap p-values simulations

54.

Lucky 13? Does the Singapore Equities Market Move in 13-Year Cycles?

Market Technician Journal, Vol. 54, pp.3-4, 2005
Number of pages: 2 Posted: 05 Sep 2007
Wing-Keung Wong and Lanz Chan
Asia University, Department of Finance and Finamatrix Investments Pte. Ltd.
Downloads 107 (211,621)

Abstract:

Singapore, equities, cycles, spectrum analysis

55.

A General Optimal Investment Model in the Presence of Background Risk

Number of pages: 9 Posted: 19 Aug 2012
Moawia Alghalith, Wing-Keung Wong, Lixing Zhu and Xu Guo
University of the West Indies (UWI), Asia University, Department of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 106 (195,963)

Abstract:

Stochastic factor, optimal investment, background risk

56.

A New Pseudo Bayesian Model for Stock Returns In Financial Crisis

Number of pages: 27 Posted: 12 May 2011 Last Revised: 25 May 2011
Wing-Keung Wong, Eric Fung, Kin Lam and Tak-Kuen Siu
Asia University, Department of Finance, Hong Kong Baptist University (HKBU) - Department of Mathematics, Hong Kong Baptist University (HKBU) and Macquarie University, Faculty of Business and Economics
Downloads 101 (215,873)

Abstract:

Bayesian Model, Representative and Conservative Heuristics, Underreaction, Overreaction, Stock Price, Stock Return, Financial Crisis

57.

A Gravity Analysis of International Stock Market Linkages

Number of pages: 10 Posted: 03 Nov 2010
Wing-Keung Wong, Terence Tai-Leung Chong and Juan Zhang
Asia University, Department of Finance, The Chinese University of Hong Kong (CUHK) - Lau Chor Tak Institute of Global Economics and Finance and affiliation not provided to SSRN
Downloads 98 (212,945)

Abstract:

Stock Market Correlations, Gravity Model, Home Bias, Exchange Rate Volatility

58.

Portfolio Management during Epidemics: The Case of SARS in China

Number of pages: 11 Posted: 09 Sep 2010
Terence Tai-Leung Chong, Shen Lu and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Lau Chor Tak Institute of Global Economics and Finance, affiliation not provided to SSRN and Asia University, Department of Finance
Downloads 92 (227,906)

Abstract:

SARS, Event Study, Cumulative Abnormal Return

59.

Linearity and Stationarity of G7 Government Bond Returns

Number of pages: 12 Posted: 10 Sep 2010
Zhuo Qiao, Venus Khim-Sen Liew and Wing-Keung Wong
University of Macau, Universiti Malaysia Sarawak and Asia University, Department of Finance
Downloads 90 (242,716)

Abstract:

government bond returns, G7, linearity, stationarity, nonlinear

Empirical Study on the Behaviours of Different Types of Hong Kong Small Investors’ in Their Investment

Number of pages: 30 Posted: 18 Feb 2015 Last Revised: 13 Sep 2015
Sheung-Chi Chow, Tai-Yuen Hon, Wing-Keung Wong and Kai Yin Woo
Hang Seng Management College, Hong Kong Shue Yan University, Asia University, Department of Finance and Hong Kong Shue Yan University
Downloads 78 (267,559)

Abstract:

investment decision; representative and conservative heuristics; excess volatility; underreaction; overreaction; magnitude effects; financial crisis

Empirical Study on the Behaviours of Different Types of Hong Kong Small Investors’ in Their Investment

Posted: 27 Aug 2015
Sheung-Chi Chow, Tai-Yuen Hon, Wing-Keung Wong and Kai Yin Woo
Hang Seng Management College, Hong Kong Shue Yan University, Asia University, Department of Finance and Hong Kong Shue Yan University

Abstract:

investment decision, representative and conservative heuristics, excess volatility, underreaction, overreaction, magnitude effects, financial crisis

61.

Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets

Number of pages: 30 Posted: 20 Feb 2010
Hooi Hooi Lean, Kin Lam and Wing-Keung Wong
Universiti Sains Malaysia, Hong Kong Baptist University (HKBU) and Asia University, Department of Finance
Downloads 77 (242,716)

Abstract:

stochastic dominance, stock index futures, risk preference, S-shape utility functions

62.

Gruss-Type Bounds for the Covariance of Transformed Random Variables

Number of pages: 12 Posted: 24 Mar 2010
Universidad de la Republica, University of Lleida, Asia University, Department of Finance and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 74 (271,354)
Citation 2

Abstract:

Gruss-type Bounds, Covariance, Transformed Random Variables, decision making, uncertainty

63.

A New Pseudo-Bayesian Model for Investors' Behaviors in Financial Crises

Number of pages: 39 Posted: 03 Jul 2012
Wing-Keung Wong, Kin Lam, Wing-Keung Wong and Lixing Zhu
Asia University, Department of Finance, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 71 (255,356)

Abstract:

Bayesian model, Representative and conservative heuristics, Underreaction, Overreaction, Stock price, Stock return, financial crisis

64.

Size and Power of Some Stochastic Dominance Tests: A Monte Carlo Study

Number of pages: 29 Posted: 06 Feb 2006 Last Revised: 22 Mar 2012
Hooi Hooi Lean, Wing-Keung Wong and Xibin Zhang
Universiti Sains Malaysia, Asia University, Department of Finance and Monash University
Downloads 69 (271,354)
Citation 1

Abstract:

stochastic dominance, correlated distributions, grid points

65.

Analyzing the Hong Kong Stock Market Structure: A Complex Network Approach

Number of pages: 18 Posted: 21 Jul 2015
Shuo Huang, Sheung-Chi Chow, Ronghua Xu and Wing-Keung Wong
Department of Economics, Hong Kong Baptist University, Hang Seng Management College, City University of Hong Kong (CityUHK) and Asia University, Department of Finance
Downloads 67 (149,110)

Abstract:

network; stock market; node strength; power-law distribution

66.

Preferences of Malaysian Stocks and Futures Markets for Investors Before and After Crises

Number of pages: 43 Posted: 12 May 2011
Asia University, Department of Finance, Universiti Sains Malaysia, University of Canberra - Division of Business, Law and Information Sciences and University of Canberra - School of Accounting, Banking and Finance
Downloads 66 (271,354)

Abstract:

Stochastic Dominance, Futures, Malaysia, Market Efficiency

67.

Big House or Small House, Which One Should We Buy? Evidence from Hong Kong

Number of pages: 25 Posted: 30 Nov 2012
Chun Kei Tsang, Gao Junjie, Wing-Keung Wong and Xiaolong Liu
affiliation not provided to SSRN, affiliation not provided to SSRN, Asia University, Department of Finance and affiliation not provided to SSRN
Downloads 63 (275,530)

Abstract:

housing market, housing size, housing yield, rental yield, efficient market, stochastic dominance

68.

Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach

Number of pages: 29 Posted: 06 Jun 2011
Zhuo Qiao, Yuming Li and Wing-Keung Wong
University of Macau, California State University and Asia University, Department of Finance
Downloads 61 (273,389)

Abstract:

Markov Switching VAR, Regime-dependent Impulse Response, Hansen Test

69.

Revisiting Grüss’s Inequality: Covariance Bounds, QDE but not QD Copulas, and Central Moments

Number of pages: 27 Posted: 26 Oct 2010
University of Montevideo - Department of Economics, University of Coruña, Asia University, Department of Finance and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 61 (298,291)

Abstract:

Grüss’s Inequality, Covariance Bound, Hoeffding Representation, Cuadras Representation, Quadrant Dependence, Quadrant Dependence in Expectation, Copula, Convex Combination, Archimedean Copula, Fréchet Copula, Farlie-Gumbel-Morgenstern Copula, Central Moments, Edmundson-Madansky Bound

70.

Prospect Performance Evaluation: Making a Case for a Non-Asymptotic UMPU Test

Number of pages: 31 Posted: 16 Dec 2011
Asia University, Department of Finance, University of Western Ontario - Department of Statistical and Actuarial Sciences, Northeast Normal University and affiliation not provided to SSRN
Downloads 55 (303,300)
Citation 5

Abstract:

71.

Optimal Output for the Regret-Averse Competitive Firm Under Price Uncertainty

Number of pages: 25 Posted: 17 Feb 2012
Wing-Keung Wong and Martín Egozcue
Asia University, Department of Finance and University of Montevideo - Department of Economics
Downloads 52 (316,381)

Abstract:

competitive firm, risk aversion, regret aversion, decision making

72.

Has Trade Increased the Risk of Contagion? An Empirical Investigation

U21Global Working Paper No. 006/2005
Number of pages: 27 Posted: 17 May 2010
Habibullah Khan, Wing-Keung Wong and Siok Khai Yeo
U21Global Graduate School, Asia University, Department of Finance and affiliation not provided to SSRN
Downloads 46 (324,803)

Abstract:

Contagion, Economic crisis, Regional trade integration, Multilateral trade liberalization

73.

Moment Conditions for Almost Stochastic Dominance

Number of pages: 13 Posted: 26 Nov 2013
Xu Guo, Thierry Post, Wing-Keung Wong and Lixing Zhu
Hong Kong Baptist University (HKBU) - Department of Mathematics, Koc University - Graduate School of Business, Asia University, Department of Finance and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 43 (303,300)

Abstract:

decision theory; utility theory; stochastic dominance; necessary conditions; moments.

74.

Can American Dollar Survive the Onslaught of Euro? An Empirical Investigation

U21Global Working Paper No. 001/2006
Number of pages: 24 Posted: 16 May 2010
Wing-Keung Wong and Habibullah Khan
Asia University, Department of Finance and U21Global Graduate School
Downloads 39 (358,483)

Abstract:

International monetary systems, Exchange rate, Monetary economics

75.

Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions

Number of pages: 17 Posted: 09 May 2015
Hang Seng Management College, Hong Kong University of Science and Technology, Monash University - Department of Economics and Asia University, Department of Finance
Downloads 36 (293,561)

Abstract:

stochastic dominance tests, income distributions,, richness, poorness

76.

High Dimensional Global Minimum Variance Portfolio

Number of pages: 7 Posted: 27 Aug 2015
Li Hua, Bai Zhidong and Wing-Keung Wong
Changchun University - Department of Science, Hong Kong Baptist University (HKBU) - Department of Economics and Asia University, Department of Finance
Downloads 30 (291,224)

Abstract:

Global Minimum Variance Portfolio, Spectral Corrected Covariance, Sample Covariance

77.

When Will STI Peak?

Number of pages: 10 Posted: 19 Jan 2013
Wing-Keung Wong
Asia University, Department of Finance
Downloads 27 (395,032)

Abstract:

78.

A New Principal-Component Approach to Measure the Investor Sentiment

IGEF Working Paper No. 24
Number of pages: 21 Posted: 17 Jul 2015
Terence Tai-Leung Chong, Bingqing Cao and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Lau Chor Tak Institute of Global Economics and Finance, Hong Kong Baptist University (HKBU) and Asia University, Department of Finance
Downloads 26 (259,215)

Abstract:

Principal component analysis; Market sentiment; CSI 300; Threshold model

79.

Almost Stochastic Dominance for Risk Averters and Risk Seekers

Number of pages: 17 Posted: 11 Sep 2014 Last Revised: 27 May 2015
Xu Guo, Wing-Keung Wong and Lixing Zhu
Hong Kong Baptist University (HKBU) - Department of Mathematics, Asia University, Department of Finance and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 21 (324,803)

Abstract:

Almost Stochastic Dominance, generalized almost stochastic dominance, expected-utility maximization, risk averters, risk seekers, moments

80.

Banking Firm and Two-Moment Decision Making

Number of pages: 19 Posted: 27 Nov 2013
Udo Broll, Wing-Keung Wong and Mojia Wu
Dresden University of Technology - Faculty of Economics and Business Management, Asia University, Department of Finance and Dresden University of Technology
Downloads 21 (395,032)

Abstract:

banking firm, investment, technology, risk, derivatives, hedging, (mu,sigma)-preferences, stochastic dominance

81.

Panel Non-Linear Causality Test

Number of pages: 8 Posted: 21 May 2015
Zhidong Bai, Wenjing Xie and Wing-Keung Wong
Northeast Normal University, Hong Kong Baptist University (HKBU) - Department of Economics and Asia University, Department of Finance
Downloads 20 (244,398)

Abstract:

linear Granger causality test, nonlinear Granger causality test, panel data, power, size

82.

Consistent Tests for Almost Stochastic Dominance

Number of pages: 11 Posted: 10 Apr 2015 Last Revised: 11 Apr 2015
Xu Guo, Haim Levy and Wing-Keung Wong
Hong Kong Baptist University (HKBU) - Department of Mathematics, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Asia University, Department of Finance
Downloads 20 (365,235)

Abstract:

stochastic dominance; almost stochastic dominance; risk aversion, consistent test statistics

83.

Production and Hedging Decisions under Regret Aversion

Number of pages: 28 Posted: 14 Nov 2014 Last Revised: 01 Sep 2015
Xu Guo, Wing-Keung Wong and Zhu Xuehu
Hong Kong Baptist University (HKBU) - Department of Mathematics, Asia University, Department of Finance and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 20 (391,073)

Abstract:

Production; Hedging; Regret aversion

84.

Prospect Theory and Two Moment Model: The Firm Under Price Uncertainty

Dresden Discussion Paper in Economics No. 01/09
Number of pages: 24 Posted: 23 Nov 2014
Udo Broll, Martin Egozcue and Wing-Keung Wong
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la Republica and Asia University, Department of Finance
Downloads 12 (467,989)

Abstract:

Prospect theory, mean-variance model, price uncertainty

85.

Big Property or Small Property: Which is a Better Investment Choice? Evidence from the Hong Kong Residential Property Market

Number of pages: 32 Posted: 17 Aug 2015
Zhuo Qiao and Wing-Keung Wong
University of Macau and Asia University, Department of Finance
Downloads 11 (407,676)

Abstract:

Mean-Variance Criterion; Stochastic Dominance; Property Size; Hong Kong Residential Property Market

86.

Panel Stochastic Dominance Test and Panel Informational Efficiency LR Test

Number of pages: 18 Posted: 12 May 2015
University Claude Bernard Lyon 1, Yuan-Ze University - Department of Finance, Asia University, Department of Finance and University of Lyon 1
Downloads 9 (452,242)

Abstract:

Covered warrants, market efficiency, panel stochastic dominance, panel information efficiency likelihood ratio test, bootstrap.

87.

Enhancement of the Applicability of Markowitz's Portfolio Optimization by Utilizing Random Matrix Theory

Mathematical Finance, Vol. 19, Issue 4, pp. 639-667, October 2009
Number of pages: 29 Posted: 21 Oct 2009
Zhidong Bai, Huixia Liu and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 2 (544,931)
Citation 28
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Abstract:

88.

*Efficiency of the Taiwan Stock Market

Japanese Economic Review, Vol. 60, Issue 3, pp. 389-394, September 2009
Number of pages: 6 Posted: 13 Oct 2009
James J. Kung and Wing-Keung Wong
Ming Chuan University and Asia University, Department of Finance
Downloads 1 (555,058)
Citation 5
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Abstract:

89.

Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly

Number of pages: 25 Posted: 05 Oct 2017
Xu Guo, Xuejun Jiang and Wing-Keung Wong
Beijing Normal University (BNU), South University of Science and Technology of China and Asia University, Department of Finance
Downloads 0 (494,000)

Abstract:

Stochastic Dominance; Omega Ratio; Risk Averters; Risk Seekers; Utility Maximization; Market Efficiency; Arbitrage Opportunity; Anomaly

90.

Nonperforming Loans in Banks – Are Managers Only Responsible?

Number of pages: 19 Posted: 29 Sep 2017
Institute of Chartered Financial Analysts of India (ICFAI), Hyderabad - IBS - Hyderabad, Institute of Chartered Financial Analysts of India (ICFAI), Hyderabad - IBS - Hyderabad and Asia University, Department of Finance
Downloads 0 (523,414)

Abstract:

Bank, Indian Bank, Nonperforming asset, Capital Adequacy Ratio, multivariate panel logistic regression

91.

Comparison the Production Behaviors of Regret-Averse and Purely Risk-Averse Firms

Number of pages: 17 Posted: 20 Sep 2017 Last Revised: 18 Oct 2017
Xu Guo and Wing-Keung Wong
Beijing Normal University (BNU) and Asia University, Department of Finance
Downloads 0 (473,176)

Abstract:

Production; Regret aversion; Risk aversion; Uncertainty

92.

Optimal Production Decision with Disappointment Aversion under Uncertainty

Number of pages: 26 Posted: 16 Sep 2017
Xu Guo, Martin Egozcue Sr. and Wing-Keung Wong
Beijing Normal University (BNU), Universidad de la Republica and Asia University, Department of Finance
Downloads 0 (518,837)

Abstract:

Production; Disappointment Theory; Disappointment-Aversion, Risk-Aversion, Uncertainty

93.

Central Moments, Stochastic Dominance, and the Moment Rules

Number of pages: 20 Posted: 13 Sep 2017
Raymond Honfu Chan, Sheung-Chi Chow, Xu Guo and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Department of Mathematics, Hang Seng Management College, Beijing Normal University (BNU) and Asia University, Department of Finance
Downloads 0 (436,639)

Abstract:

Stochastic dominance, central moments, expected-utility maximization, risk aversion, risk seeking, investment behaviors, moment rule

94.

China's Impact on Mongolian Economy

Number of pages: 33 Posted: 15 Jul 2017
Asia University, Department of Finance, Asia University, Department of Finance, Asia University, Department of Finance and Asia University, Department of Finance
Downloads 0 (473,176)

Abstract:

Mongolian economy, Chinese economy, inflation, gross domestic products, exports

95.

Why Investors Buy Insurance and Try Their Luck with Lotteries as Well?

Number of pages: 14 Posted: 05 Jun 2017
Wing-Keung Wong and Zhuo Qiao
Asia University, Department of Finance and University of Macau
Downloads 0 (327,699)

Abstract:

Stochastic Dominance, Risk Aversion, Risk Seeking, Utility Function, More Risky Asset, Less Risky Asset

96.

The Preferences of Omega Ratio for Risk Averters and Risk Seekers

Number of pages: 10 Posted: 22 Mar 2017
Xu Guo and Wing-Keung Wong
Beijing Normal University (BNU) and Asia University, Department of Finance
Downloads 0 (391,073)

Abstract:

downside risk, value-at-risk, conditional-VaR, stochastic dominance, utility

97.

New Theories in Financial Economics and Financial Econometrics with Applications and Real-Life Practice

Number of pages: 64 Posted: 25 Feb 2017 Last Revised: 28 Sep 2017
Wing-Keung Wong
Asia University, Department of Finance
Downloads 0 (119,902)

Abstract:

Financial Economics, Financial Econometrics, Applications, Real-life Practice

98.

Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis

Number of pages: 30 Posted: 13 Feb 2017
Chouaïb Doukkali University, GSCM-Montpellier Business School, Asia University, Department of Finance and Northeast Normal University
Downloads 0 (426,536)

Abstract:

Islamic vs. Conventional stocks; Risk-averse vs. Risk-seeking investors; Gold; Portfolio diversification; Mean-risk; Stochastic dominance

99.

Is Gold Different for Risk-Averse and Risk-Seeking Investors? An Empirical Analysis of the Shanghai Gold Exchang

Number of pages: 30 Posted: 08 Feb 2017
Thi-Hong-Van Hoang, Wing-Keung Wong and Zhenzhen Zhu
GSCM-Montpellier Business School, Asia University, Department of Finance and Northeast Normal University
Downloads 0 (494,000)

Abstract:

G11, C58

100.

Revisiting the Hiemstra-Jones Test

Number of pages: 13 Posted: 25 Oct 2016 Last Revised: 03 Nov 2016
Zhidong Bai, Yongchang Hui and Wing-Keung Wong
Northeast Normal University, Hong Kong Baptist University (HKBU) and Asia University, Department of Finance
Downloads 0 (436,639)

Abstract:

Hiemstra-Jones test, Nonlinear Granger Causality

101.

New Tests for Poorness, Richness, and Middle Class Welfare: Stochastic Dominance Analysis for Different Types of Social Welfare Functions

Number of pages: 32 Posted: 20 Oct 2016
Northeast Normal University, Monash University - Department of Economics, Asia University, Department of Finance and Northeast Normal University
Downloads 0 (441,832)

Abstract:

ascending stochastic dominance, descending stochastic dominance, Markowitz stochastic dominance, prospect stochastic dominance, tests for richness and poorness, test for middle class, social welfare functions

102.

Central Moments, Stochastic Dominance and Expected Utility

Number of pages: 11 Posted: 09 Oct 2016
Raymond Honfu Chan, Sheung-Chi Chow and Wing-Keung Wong
The Chinese University of Hong Kong (CUHK) - Department of Mathematics, Hang Seng Management College and Asia University, Department of Finance
Downloads 0 (355,179)

Abstract:

higher order stochastic dominance, higher order central moments, expected-utility maximization, risk aversion, risk seeking, investment behaviors

103.

A Note on Stochastic Dominance and the Omega Ratio

Number of pages: 10 Posted: 23 Aug 2016 Last Revised: 12 Oct 2016
Xu Guo, Xuejun Jiang and Wing-Keung Wong
Beijing Normal University (BNU), South University of Science and Technology of China and Asia University, Department of Finance
Downloads 0 (275,530)
Citation 3

Abstract:

Stochastic Dominance, Omega Ratio, Risk Averters, Risk Seekers, Utility Maximization

104.

Mean-Variance and Stochastic Dominance Analysis of Global Exchange-Traded Funds

Number of pages: 46 Posted: 14 Apr 2016
Zhen-Zhen Zhu, Wing-Keung Wong and Kok Fai Phoon
Northeast Normal University, Asia University, Department of Finance and SIM University
Downloads 0 (333,636)

Abstract:

exchange-traded funds, stochastic dominance, risk-averse investors, performance measurement

105.

Theories of Risk: Testing Investor Behavior on the Taiwan Stock and Stock Index Futures Markets

Economic Inquiry, Vol. 54, Issue 2, pp. 907-924, 2016
Number of pages: 18 Posted: 26 Feb 2016
Ephraim Clark, Zhuo Qiao and Wing-Keung Wong
Middlesex University Business School, University of Macau and Asia University, Department of Finance
Downloads 0 (569,371)
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Abstract:

106.

Stock Market Liberalizations and Efficiency: The Case of Latin America

Posted: 20 Jan 2016
João Paulo Vieito, Wing-Keung Wong and Sheung-Chi Chow
Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo, Asia University, Department of Finance and Hang Seng Management College

Abstract:

Market Liberalization; Market Efficiency; Stochastic Dominance, Latin America

107.

Estimating Parameters in Autoregressive Models with Asymmetric Innovations: MMLE and Nonlinear Approaches

Number of pages: 15 Posted: 05 Oct 2015 Last Revised: 07 Oct 2015
Jialiang Li, Fang Shao and Wing-Keung Wong
National University of Singapore (NUS), Nanjing University and Asia University, Department of Finance
Downloads 0 (421,583)

Abstract:

Autoregression; nonnormality; modified maximum likelihood; nonlinear estimators; Student's t; gamma; and generalized logistic families; robustness

108.

A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Applications

Posted: 06 Mar 2015 Last Revised: 09 Mar 2016
Zhidong Bai, Yongchang Hui and Wing-Keung Wong
Northeast Normal University, Hong Kong Baptist University (HKBU) and Asia University, Department of Finance

Abstract:

Nonlinearity, U-statistics, Volterra expansion, sunspots, efficient market, simulation

109.

A Bayesian Approach to Explain Excess Volatility, Short-Term Underreaction, and Long-Term Overreaction During Normal Situations and Financial Crises

Posted: 06 Mar 2015
Xu Guo, Wing-Keung Wong and Lixing Zhu
Hong Kong Baptist University (HKBU) - Department of Mathematics, Asia University, Department of Finance and Hong Kong Baptist University (HKBU) - Department of Mathematics

Abstract:

Bayesian model; representative and conservative heuristics; excess volatility; underreaction; overreaction; magnitude effects; financial crisis

Other Papers (1)

Total Downloads: 58    Citations: 0
1.

Euronext Stock Exchange Merger and Market Efficiency

Number of pages: 23 Posted: 31 Jan 2013
Chinese University of Hong Kong - Department of Economics, USM School of Social Sciences - Economics, Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo and Asia University, Department of Finance
Downloads 35 (347,352)

Abstract:

Stock Exchange Merger, Euronext, Market Efficiency, Stochastic Dominance