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Estimating skewness persistence in market returns

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  • Jati Sengupta
  • Yijuan Zheng

Abstract

The conditional returns series for mutual funds and the S&P 500 are analysed to test whether there is persistence in skewness. Three groups of statistical models of market volatility are estimated over the period September 1988 to April 1993 and the empirical evidence provides valuable insights into the skewness persistence.

Suggested Citation

  • Jati Sengupta & Yijuan Zheng, 1997. "Estimating skewness persistence in market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 549-558.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:549-558
    DOI: 10.1080/096031097333411
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    References listed on IDEAS

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    1. repec:cdl:ucsbec:8-90 is not listed on IDEAS
    2. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    3. Hsieh, David A, 1991. "Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    5. Friend, Irwin & Westerfield, Randolph, 1980. "Co-Skewness and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 35(4), pages 897-913, September.
    6. Haim Falk & Haim Levy, 1989. "Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based Test of Market Efficiency," Management Science, INFORMS, vol. 35(4), pages 425-446, April.
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