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Skewness and Kurtosis in Japanese Equity Returns: Empirical Evidence

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  • Aggarwal, Raj
  • Rao, Ramesh P
  • Hiraki, Takato

Abstract

In this paper, the distribution of equity returns on the Tokyo Stock Exchange is examined from 1965 to 1984, and significant and persistent skewness and kurtosis are found. The deviation of security returns from normality declines with increasing portfolio size and appears to be greater than the non-normality evidenced in U.S. security returns. Further, these deviations from normality persist even after controlling for January and firm size effects.

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Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 12 (1989)
Issue (Month): 3 (Fall)
Pages: 253-60

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Handle: RePEc:bla:jfnres:v:12:y:1989:i:3:p:253-60

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Web page: http://www.southwesternfinance.org/
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Cited by:
  1. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, Elsevier, vol. 6(1), pages 35-51, February.
  2. Fabio Pizzutilo, 2013. "The Distribution of the Returns of Japanese Stocks and Portfolios," Asian Economic and Financial Review, Asian Economic and Social Society, Asian Economic and Social Society, vol. 3(9), pages 1249-1259, September.
  3. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 355-381, October.
  4. Menezes, Carmen F. & Wang, X.Henry, 2005. "Increasing outer risk," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 875-886, November.
  5. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(7), pages 1255-1268, July.
  6. A. Gregoriou & A. Kontonikas & N. Tsitsianis, 2004. "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(3), pages 215-220.
  7. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 275-307, November.
  8. Ratner, Mitchell, 1996. "Investigating the behavior and characteristics of the Madrid Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(1), pages 135-149, January.
  9. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
  10. Constand, Richard L. & Pace, R. Daniel, 1998. "Another look at corporate ownership in Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 127-147.
  11. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
  12. Aggarwal, Raj, 1995. "Microstructure of world trading markets: Hans R. Stoll, Norwell, MA: Kluwer Academic Publishers, 1993, 154 pp," International Review of Economics & Finance, Elsevier, Elsevier, vol. 4(3), pages 311-313.
  13. Gordon Tang & Daniel Choi, 1998. "Impact of diversification on the distribution of stock returns: International evidence," Journal of Economics and Finance, Springer, Springer, vol. 22(2), pages 119-127, June.

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