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The Bootstrap Approach for Testing Skewness Persistence

Author

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  • Krishnamurty Muralidhar

    (Department of Decision Sciences and Information Systems, Florida international University, Miami, Florida 33199)

Abstract

This study presents a new methodology for testing changes in skewness between time periods (or samples) using the bootstrap method. A Monte Carlo simulation experiment was conducted to compare the effectiveness of the bootstrap method with the method suggested by Lau, Wingender and Lau (1989) to test skewness persistence. The results show the bootstrap method to be more powerful than the other method. The bootstrap method was also used to determine the persistence of skewness in stock returns. The results show that, in a large percentage of stocks, skewness persists over time.

Suggested Citation

  • Krishnamurty Muralidhar, 1993. "The Bootstrap Approach for Testing Skewness Persistence," Management Science, INFORMS, vol. 39(4), pages 487-491, April.
    • Handle: RePEc:inm:ormnsc:v:39:y:1993:i:4:p:487-491
    DOI: 10.1287/mnsc.39.4.487
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    Citations

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    Cited by:

    1. Eakins, Stanley G. & Stansell, Stanley R. & Below, Scott D., 1996. "The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 237-257.
    2. Sun, Qian & Yan, Yuxing, 2003. "Skewness persistence with optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1111-1121, June.
    3. Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
    4. Lu, Qinye & Vivian, Andrew, 2020. "Domestically formed international diversification," Journal of International Money and Finance, Elsevier, vol. 103(C).
    5. Xun Gong & Chunmei Lin & Remco C. J. Zwinkels, 2017. "Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 36-61.
    6. Canela, Miguel Angel & Collazo, Eduardo Pedreira, 2007. "Portfolio selection with skewness in emerging market industries," Emerging Markets Review, Elsevier, vol. 8(3), pages 230-250, September.
    7. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.

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