Skewness in financial returns

被引:154
作者
Peiró, A [1 ]
机构
[1] Univ Valencia, Dept Anal Econ, Valencia 46011, Spain
关键词
exchange rates; skewness; stock returns; symmetry;
D O I
10.1016/S0378-4266(98)00119-8
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In this paper the symmetry of daily returns is addressed in eight international stock markets and three spot exchange rates. Tests of symmetry with the sample skewness seem of little value, due to the non-normality of the returns. Under alternative nonnormal distributions, the symmetry of the returns cannot be rejected for most markets. Distribution-free procedures do not detect strong asymmetries in most of the series either; however, some differences between returns below the mean and returns over the mean are observed in several markets (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: C14; F31; G12; G15.
引用
收藏
页码:847 / 862
页数:16
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