Advanced Search
MyIDEAS: Login to save this article or follow this journal

Regularities in the Variation of Skewness in Asset Returns


Author Info

  • Alles, Lakshman A
  • Kling, John L


This paper documents regularities in the comparative skewness characteristics across several classes of assets and over time. We find smaller capitalized stock indices are more negatively skewed than larger stock indices. Over time, the skewness of stock indices follows a business-cycle-related variation. Skewness is more negative during economic upturns and less negative, even positive, during downturns. Three alternative methods for testing the statistical significance of skewness and for making confidence interval estimates of skewness are presented. These include a bootstrap methodology and a test that allows for nonindependent observations.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

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

Volume (Year): 17 (1994)
Issue (Month): 3 (Fall)
Pages: 427-38

as in new window
Handle: RePEc:bla:jfnres:v:17:y:1994:i:3:p:427-38

Contact details of provider:
Web page:
More information through EDIRC

Web page:
More information through EDIRC

Order Information:

Related research



No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Desmoulins-Lebeault, François, 2004. "Semi-moments based tests of normality and the evolution of stock returns towards normality," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/2714, Paris Dauphine University.
  2. Amado Peiró, 2001. "Skewness In Individual Stocks At Different Frequencies," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  3. Nummelin, Kim, 1997. "Global coskewness and the pricing of Finnish stocks: empirical tests," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 7(2), pages 137-155, July.
  4. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(6), pages 847-862, June.
  5. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, Elsevier, vol. 221(2), pages 397-406.
  6. 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.
  7. Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011. "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, American Economic Association, vol. 101(7), pages 2955-79, December.
  8. Li, Hao & Melnikov, Alexander, 2014. "Polynomial extensions of distributions and their applications in actuarial and financial modeling," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 250-260.
  9. Desmoulins-Lebeault, François, 2002. "Capm empirical problems and the distribution," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/2749, Paris Dauphine University.
  10. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0370, Econometric Society.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:17:y:1994:i:3:p:427-38. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.