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Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)

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Author Info

  • Carlos MACHADO-SANTOS

    ()
    (UTAD University, Apartado, Portugal)

  • Ana Cristina FERNANDES

    ()
    (University of Minho, Braga, Portugal)

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    Abstract

    This paper addresses the issue of symmetry in financial returns. The return distributions of the major stocks traded on the Portuguese market and included in the PSI-20 Index are examined for periods from four to nine years. The results show that the symmetry of the returns is rejected against several alternative distributions. Statistically significant differences between returns below and above the mean are detected, which provides additional evidence of skewness in the return distributions. In addition, as observed in other studies, it is interesting to note that such results are similar to other low-capitalization and low-volume markets, which also exhibit asymmetric return distributions.

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    Bibliographic Info

    Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

    Volume (Year): 55 (2005)
    Issue (Month): 9-10 (September)
    Pages: 460-470

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    Handle: RePEc:fau:fauart:v:55:y:2005:i:9-10:p:460-470

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    Related research

    Keywords: stock markets; skewness; financial returns;

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    1. Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee.
    2. Aggarwal, Raj & Rao, Ramesh P & Hiraki, Takato, 1989. "Skewness and Kurtosis in Japanese Equity Returns: Empirical Evidence," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 12(3), pages 253-60, Fall.
    3. Baci, Sidika & Zaman, Asad, 1998. "Effects of skewness and kurtosis on model selection criteria," Economics Letters, Elsevier, vol. 59(1), pages 17-22, April.
    4. Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis.
    5. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, vol. 36(107), pages 335-46, July.
    6. Jean, William H., 1971. "The Extension of Portfolio Analysis to Three or More Parameters," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(01), pages 505-515, January.
    7. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    8. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
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