Are International Equity Markets Really Skewed?
AbstractAlthough the extreme tails of the distributions of equity returns tend to exhibit more negative than positive returns, very few studies have analysed how pervasive is skewness across entire distributions. We use daily returns on 6 international stock market indices from Britain, France, Germany, Italy, Japan and the United States over 24 years from January 1978 to February 2002 to search for skewness in the tails, in different intervals, and in the entire distributions using binomial distribution tests and two distribution free tests, the Wilcoxon Rank Sum Test and the Siegel Tukey test. We find limited evidence of statistically significant skewness in the tails, with more skewness closer to the means. Classification-
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp040.
Date of creation: 20 Apr 2005
Date of revision:
Asymmetric returns; skewness; international equity markets.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-30 (All new papers)
- NEP-CFN-2005-04-30 (Corporate Finance)
- NEP-RMG-2005-04-30 (Risk Management)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Colm Kearney & Margaret Lynch, 2005.
"Volume and Skewness in International Equity Markets,"
The Institute for International Integration Studies Discussion Paper Series
- Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Colette Keleher).
If references are entirely missing, you can add them using this form.