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Skewness and index futures return

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  • Eric Jondeau
  • Xuewu Wang
  • Zhipeng Yan
  • Qunzi Zhang

Abstract

In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling for the liquidity risk or for the current business cycle conditions. We also find that individual skewness performs very well at predicting index futures returns out‐of‐sample.

Suggested Citation

  • Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020. "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1648-1664, November.
    • Handle: RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1648-1664
    DOI: 10.1002/fut.22112
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    2. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
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