Applying Stochastic Dominance to Analyze Investing Performance of Global Financial Index after Financial Tsunami

[[abstract]]本研究以金融海嘯後時期期間發生歐美國家債務問題、茉莉花革命、利比亞內戰、伊朗問題等等。針對美元指數、黃金價格與國際主要股市指數資料，運用隨機優勢法則(Barrett and Donald, 2003)所提出，檢測美元指數、黃金及國際主要股市(美國道瓊、英國時報、德國DAX、法國CAC、大陸上證、台股加權、香港恆生)之投資績效分析。本文以報酬率來檢測，探討在後金融海嘯時期之投資績效結果。研究期間取自2008/12/04-2012/6/7。結果三階的隨機優勢檢定下美元指數相較於黃金、國際金融證券市場指數皆具有三階的隨機優勢，而黃金相較於國際金融證券市場指數(除美國道瓊、台灣加權指數外)，皆具有三階的隨機優勢，而黃金與美國道瓊、台灣加權指數在三階隨機優勢的檢定下只存在於模擬法之KS1檢定。因此美元指數表現在本研究為表現最好，其原因主要報酬率波動不大，具有對抗通貨膨脹與金融市場變化之規避風險功能的投資工具，顯示美元指數是具有低風險、穩定報酬特性的投資標的。[[abstract]]This research aims on deficit problems occurred during the period after the financial crisis in Occident, Jasmine Revolution, civil war in Libya and Iran issue, etc. For data of US dollar index, gold prices and major international stock market index, it adopted stochastic dominance rule that brought up by Barrett and Donald (2003) to determine US dollar index, gold and major international stock market (Dow Jones of the US, Financial Times of the UK, DAX of Germany, CAC of France, Shanghai Composite Index of China, TAIEX and Hang Seng Index of Hong Kong) and analyze their investment performance. This research used rate of return for determination to explore the results of investment performance in post financial crisis. The research period is from December 04, 2008 to June 7, 2012. The results are under determination of third-order stochastic dominance; US dollar index has better third-order stochastic dominance than gold, international financial stock market index. Moreover, gold has better third-order stochastic dominance than international financial stock market index (Dow Jones of the US and TAIEX are excluded.) and under determination of third-order stochastic dominance, gold, Dow Jones of the US and TAIEX only exist in KS1 of Simulation. Therefore, the performance of US dollar index in this research is the best. The main reasons are its volatility of rate of return is not great and it is an investment tool for risk averse that fights against inflation and changes in financial market. It shows that US dollar index is an investment target with characteristics of low risk and stable rewards