Regularities in the Variation of Skewness in Asset Returns
This paper documents regularities in the comparative skewness characteristics across several classes of assets and over time. We find smaller capitalized stock indices are more negatively skewed than larger stock indices. Over time, the skewness of stock indices follows a business-cycle-related variation. Skewness is more negative during economic upturns and less negative, even positive, during downturns. Three alternative methods for testing the statistical significance of skewness and for making confidence interval estimates of skewness are presented. These include a bootstrap methodology and a test that allows for nonindependent observations.
Year of publication: |
1994
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Authors: | Alles, Lakshman A ; Kling, John L |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 17.1994, 3, p. 427-38
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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