Chiang, Yi-Chein; Ke, Mei-Chu; Liao, Tung Liang; Wang, … - In: Applied Financial Economics 22 (2012) 12, pp. 955-965
This study is the first to use stochastic dominance theory to compare the performance of passive and active trading strategies for the Taiwan Stock Index Futures. In total, we test nine common trading strategies, including buy-and-hold (passive) and eight technical trading strategies (active)....