IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v39y1993i4p487-491.html
   My bibliography  Save this article

The Bootstrap Approach for Testing Skewness Persistence

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.39.4.487
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.39.4.487?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. 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.
    3. 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.
    4. 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.
    5. Sun, Qian & Yan, Yuxing, 2003. "Skewness persistence with optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1111-1121, June.
    6. Lu, Qinye & Vivian, Andrew, 2020. "Domestically formed international diversification," Journal of International Money and Finance, Elsevier, vol. 103(C).
    7. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:39:y:1993:i:4:p:487-491. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.