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Regularities in the Variation of Skewness in Asset Returns

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  • Alles, Lakshman A
  • Kling, John L

Abstract

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.

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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

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Handle: RePEc:bla:jfnres:v:17:y:1994:i:3:p:427-38

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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Web page: http://www.southwesternfinance.org/
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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.

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