Carlos MACHADO-SANTOS () (UTAD University, Apartado, Portugal) Ana Cristina FERNANDES () (University of Minho, Braga, Portugal)
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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Volume (Year): 55 (2005) Issue (Month): 9-10 (September) Pages: 460-470 Download reference. The following formats are available: HTML
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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