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Keywords:

  • Quantile-preserving spread;
  • Non-parametric tests;
  • Distribution of stock returns;
  • Lorenz curve

Abstract

This paper derives a two-sample non-parametric procedure for testing quantile-preserving spreads. The asymptotic properties of the test statistic are studied, and the use of the test is demonstrated in comparing the dispersion of the returns on a stock-index between months.