Multivariate stochastic dominance among different financial markets

In this paper, starting by a recent classification of stochastic orderings consistent with preferences, we show how risk/variability of multivariate measures can be applied to determine dominant sectors markets in different financial contexts of different countries. In particular we propose an empirical financial application where multivariate stochastic orderings consistent with the investors’ preferences can be applied to compare and evaluate the possible dominance among the US stock market, the German stock market and the UK stock exchange market. We evaluate the dominance, considering the “oldest” and “youngest” firms of the different countries, either before and during the crisis (from 2003 till 2013). Key-Words: Multivariate preferences, Stochastic Dominance, Financial Market comparison.