روابط تسلط تصادفی بین بازارهای آتی سهام و شاخص سهام : شواهد بین المللی

In this paper, we first modify the stochastic dominance (SD) test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers. We then adopt both tests to examine the SD relationships between stock indices and their corresponding index futures for 10 countries. The sample contains data from 6 developed countries and 4 developing countries. The study proposes that there should be no SD relationship between spot and futures markets in developed financial markets in which arbitrage opportunities (both pure and quasi) are rare and short-lived. However, we expect that SD relationships could be found in emerging financial markets that have more impediments to arbitrage. Consistent with this conjecture, our study finds that there are no SD relationships between spot and futures markets in the mature market sample, implying that these markets could be efficient. However, for the emerging markets, spot dominates futures for risk averters, while futures dominate spot for risk seekers in the second- and third-order SD. These results indicate that there are potential gains in expected utilities for risk averters (seekers) if they switch their investment from futures (spot) to spot (futures) in the emerging markets.

In an efficient market, the force of arbitrage ensures that a futures contract and the price of its underlying cash asset move in lock-step and a movement in either asset, say, the futures, will trigger spontaneous movement in the corresponding spot market. As a result, there should be no arbitrage opportunity between futures and the underlying cash asset and they should be perfect substitutes for investors. However, real market factors, such as execution risk, market liquidity, participation of astute and highly capitalized arbitrageurs, transaction costs, and institutional constraints like restrictions on short-selling cash assets, impede arbitrage and de-couple the two assets. Arbitrage inefficiency between futures and spot has been revealed in different forms and by many studies. Previous studies have examined the efficiency issue by testing the existence of pure arbitrage opportunities and a lead–lag relationship between the two markets.1 However, these two approaches are highly related because imperfect correlation between the two markets is necessary for the existence of pure arbitrage opportunities. The tests on pure arbitrage opportunities are considered to be “weak” form tests. This study proposes a “strong” form test of market efficiency via stochastic dominance (SD) under both risk aversion and risk seeking assumptions. The complete set of SD tests allows the study to detect the existence of “quasi” arbitrage possibilities even in the absence of pure arbitrage opportunities. Therefore, the SD tests are better in the sense that they can pick up a less apparent form of inefficiency between the two markets. Due to reasons such as a lower degree of institutional participation, less efficient trading systems that prevent efficient trade execution, less informed investors, and less arbitrage capital in emerging financial markets, we would expect that it is more likely to discover a dominance relationship between the two assets in emerging markets than in mature markets. The study tests the above proposition by examining a group of 6 developed markets and another group of 4 emerging markets. Consistent with our conjecture, the study finds that there are significant SD relationships in the 4 emerging markets, indicating the existence of at least quasi arbitrage opportunities in these countries. On the other hand, no SD relationship is found in the developed market sample. The rest of this paper is organized as follows. We will briefly discuss the theory of SD for risk averters and risk seekers in Section 2. Section 3 introduces the Davidson and Duclos test (hereafter DD test, 2000) for SD and discusses test implementation issues. Section 4 describes the data set and presents descriptive statistics. The SD empirical results are presented and analyzed in Section 5. Section 6 contains some concluding remarks.

In this paper, we first modify the SD test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers. We then adopt both tests to examine the dominance relationships between the stock indices and their corresponding index futures in 10 countries, including 6 developed countries and 4 developing countries. The study proposes that there should be no SD relationship between the futures market and the spot markets in developed financial markets in which arbitrage opportunities (both pure and quasi) are rare and short-lived. However, we would expect that some SD relationships could be found in emerging financial markets that have more impediments to arbitrage. Consistent with this conjecture, we find that the dominance relationships between these two assets in the developed countries differ from those in the developing countries. In the US, Canada, UK, Germany, France, and Japan, we do not find any SD relationship between spot and futures markets for the first three orders for both risk averters and risk seekers. This indicates that arbitrage profits or gains in expected utilities do not exist for both risk averters and risk seekers. By contrast, in the developing countries, such as Taiwan, Hong Kong, Singapore, and Brazil, spot dominates futures for risk averters,while futures dominate spot for risk seekers in the sense of the second- and third-order SD, indicating the existence of gains in expected utilities for risk averters (seekers) when switching from investing in futures (spot) to investing in the spot market (futures). Our results provide insight into understanding investors' behavior in these markets and are useful for helping investors make investment decisions.