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This study examines market efficiency levels for the 16 European major stock markets in response to the 2018 financial crisis. Stochastic dominance is used to investigate the existence of four popular value premium (VP) indicators, including book-to-market, earnings-to-price, cash earnings-to-price and dividend-to-price ratios, so a total of 64 market-indicator observations are formed in the pre- and post-crisis periods, respectively. Stocks in the top (bottom) 30% of each indicator are defined as value (growth) portfolio, dubbed 30-40-30 splitting, and 20-60-20 and 10-80-10 partitions are also constructed in this study. Difference test shows that the ratio of the existence of the VP for each partition in the pre-crisis period is significantly higher than its corresponding partition in the post-crisis period, respectively, indicating that market efficiency levels are impacted by financial crisis. Next, difference test also shows that the ratio of the existence of the VP for 30-40-30 partition is significantly lower than that for 20-60-20 partition in the per- and post-crisis periods, respectively. However, the ratio of the existence of the VP between 20-60-20 and 10-80-10 partitions is not significantly different in the pre- and post-crisis periods, respectively. [ABSTRACT FROM AUTHOR]

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). The results show that the Relative Strength Index (RSI) oscillator and parabolic strategies outperform the other technical trading strategies, and all of the eight technical trading strategies beat the buy-and-hold strategy both before and after transaction costs. In addition, investing a portion of investors’ money in risky assets and a portion in risk-free assets can help distinguish performance among the trading strategies. This implies that the stochastic dominance theory can help investors determine an optimal asset allocation. [ABSTRACT FROM AUTHOR]