Panait, Iulian and Slavescu, Ecaterina Oana (2012): Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011. Published in: CKS – eBook 2012 (2012): pp. 1592-1600.
Download (240kB) | Preview
Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual stocks, but only a few present values significantly different from the characteristics of a normal distribution. We compare our results with skewness estimates for 21 major and emerging stock market indices around the world and find that such results are similar to other low capitalization and trading volume markets. For all the Romanian and international assets studied, the Studentized-Range (St-R) and Jarque-Bera (J-B) tests reject the hypothesis of normal distribution of daily returns.
|Item Type:||MPRA Paper|
|Original Title:||Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011|
|English Title:||Skewness in stock returns: evidence from the Bucharest Stock Exchange during 2000 – 2011|
|Keywords:||Skewness, stock returns, asymmetric returns, frontier and emerging markets|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Iulian Panait|
|Date Deposited:||11. May 2012 23:49|
|Last Modified:||07. Sep 2015 18:15|
AGGARWAL, R. – RAO, R. – HIRAKI, T. (1989): Skewness and Kurtosis in Japanese Equity Returns: Empirical Evidence. The Journal of Financial Research, vol. 12, 1989, no. 3, pp. 253–260.
ARDITTI, F. (1967): Risk and the Required Return on Equity. Journal of Finance, vol. 22, 1967, no. 1, pp. 19–36.
ARDITTI, F. – LEVY, H. (1975): Portfolio Efficiency and Analysis in Three Moments: The Multiperiod Case. Journal of Finance, vol. 30, 1975, no. 3, pp. 797–809.
ARROW, K. (1964): The Role of Securities in the Optimal Allocation of Risk-Bearing. Review of Economic Studies, vol. 31, 1964, pp. 91–96.
ARROW, K. (1971): Essays in the Theory of Risk Bearing. Markham Publishing Company, Chicago, 1971.
BASCI, S. – ZAMAN, A. (1998): Effects of Skewness and Kurtosis on Model Selection Criteria. Economic Letters, vol. 59, 1998, no. 1, pp. 17–22.
BEKAERT, G. – ERB, C. – HARVEY, C. – VISKANTA, T. (1998): Distributional Characteristics of Emerging Market Returns and Asset Allocation. Journal of Portfolio Management, vol. 24, 1998, no. 2, pp. 102–116.
BRUNNER, T., LEVINSKI, R. and QIU, J. (2009): Skewness preferences and asset selection: An experimental study. Working Papers in Economics and Statistics, University of Innsbruck, vol. 2009-13, 2009.
CHUNHACHINDA, P. – DANDAPANI, K. – HAMID, S. – PRAKASH, A. (1997): Portfolio Selection and Skewness: Evidence from International Stock Markets. Journal of Banking and Finance, vol. 21, 1997, pp. 143–167.
FAMA, E. (1971). Risk, Return, and Equilibrium. Journal of Political Economy, vol. 79, 1971, no. 1, pp. 30–55.
FAMA, E. – ROLL, R. (1968): Some Properties of Symmetric Stable Distributions. Journal of the American Statistical Association, vol. 63, 1968, pp. 817–836.
FERNANDES, A. – MACHADO-SANTOS, C. (2002): Evaluation of Investment Strategies with Options. International Journal of Business and Economics, vol. 2, 2002, no. 1, pp. 282–293.
FERNANDES, A. – MACHADO-SANTOS, C. (2005): Skewness in Financial Returns: Evidence from the Portuguese Stock Market. Finance a úvűr – Czech Journal of Economics and Finance, vol.55, 2005, no. 9-10, pp. 460–469.
GUJARATI, D. (1995): Basic Econometrics. 3rd Edition. McGraw-Hill International Editions, New York, 1995.
JEAN, W. (1971): The Extension of Portfolio Analysis to Three or More Parameters. Journal of Financial and Quantitative Analysis, vol. 6, 1971, no. 1, pp. 505–515.
KANJI, G. (1995): 100 Statistical Tests. 1st Edition. SAGE Publications, London, 1995.
KEARNEY, C., LYNCH, M. (2007): Are International Equity Markets Really Asymmetric? Applied Financial Economics, vol. 17, 2007, no. 5, pp. 399-411.
KRAUS, A. – LITZENBERGER, R. (1976): Skewness Preference and the Valuation of Risky Assets. Journal of Finance, vol. 31, 1976, no. 4, pp. 1085–1100.
KRAUS, A. – LITZENBERGER, R. (1983): On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM. Journal of Finance, vol. 38, 1983, no. 5, pp. 1381–1391.
LELAND, H. (1999): Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World. Financial Analyst Journal, vol. 55, 1999, no. 1, pp. 27–36.
LEVY, H. – SARNAT, M. (1972): Investment and Portfolio Analysis. John Wiley & Sons Inc., New York, 1972.
LINTNER, J. (1965): The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, vol. 47, 1965, no. 1, pp. l3–37.
LUCEY, B., TULLY, E., POTI, V. (2006): International Portfolio Formation, Skewness and the Role of Gold. Frontiers in Finance and Economics, vol. 3, 2006, no. 1, pp. 49-68.
MARKOWITZ, H. (1952): Portfolio Selection. Journal of Finance, vol. 8, 1952, no. 1, pp. 77–91.
MARKOWITZ, H. (1959): Portfolio Selection Efficient Diversification of Investments. John Wiley & Sons Inc., New York, 1959.
MARKOWITZ, H. (1991): Foundations of Portfolio Theory. Journal of Finance, vol. 46, 1991, no. 2, pp. 469–477.
PADUREANU A. (2011): Rational Option Pricing Theory's Feasibility Testing During the Current Financial Markets's Conditions. Case Study: American Index Options, Studii si Cercetari de Calcul Economic si Cibernetica Economica, vol. 45, 2011, nr. 1-2, pp.153-173.
PEIRÓ, A. (1999): Skewness in Financial Returns. Journal of Banking and Finance, vol. 23, 1999, pp. 847–862.
PEIRÓ, A. (2001): Skewness in Individual Stocks at Different Frequencies. IVIE working papers, 2001, Instituto Valenciano de Investigaciones Economicas, WP-EC 2001-07: V-1486-2001
PRATT, J. (1964). Risk Aversion in the Small and in the Large. Econometrica, vol. 32, 1964, no. 1-2, pp. 122–136.
RUBINSTEIN, M. (1973): The Fundamental Theorem of Parameter Preference Security Valuation. Journal of Financial and Quantitative Analysis, vol. 8, 1973, pp. 61–69.
RUBINSTEIN, M. (1976): The Valuation of Uncertain Income Streams and the Pricing of Options. Bell Journal of Economics and Management Science, vol. 7, 1976, no. 2, pp. 407–425.
SAMUELSON, P. (1970): The Fundamental Approximation of Theorem in Portfolio Analysis in Terms of Means, Variances and Higher Moments. Review of Economic Studies, vol. 37, 1970, pp. 537–542.
SHARPE, W. (1966): Mutual Fund Performance. Journal of Business, vol. 39, 1966, no. 1, pp. 119–138.
STRONG, N. (1992): Modelling Abnormal Returns: A Review Article. Journal of Business Finance and Accounting, vol. 19, 1992, no. 4, pp. 533–553.
TSIANG, S. (1972): The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference and the Demand for Money. American Economic Review, vol. 62, 1972, no. 3, pp. 341–360.
TUDOR, C. (2004): Testarea puterii coeficientului de asimetrie ca sursa de risc la Bursa de Valori Bucuresti. EIRP Proceedings, vol 3, 2008, pp. 536-543.