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Assessing symmetry of financial returns series

Author

Listed:
  • H. F. Coronel-Brizio

    (Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico)

  • A. R. Hernandez-Montoya

    (Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico)

  • Huerta-Quintanilla

    (Depto de Fisica Aplicada, Cinvestav-Merida, Mexico)

  • M. Rodriguez-Achach

    (Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico
    Depto de Fisica Aplicada, Cinvestav-Merida, Mexico)

  • .

Abstract

Testing symmetry of a probability distribution is a common question arising from applications in several fields. Particularly, in the study of observables used in the analysis of stock market index variations, the question of symmetry has not been fully investigated by means of statistical procedures. In this work a distribution-free test statistic Tn for testing symmetry, derived by Einmahl and McKeague, based on the empirical likelihood approach, is used to address the study of symmetry of financial returns. The asymptotic points of the test statistic Tn are also calculated and a procedure for assessing symmetry for the analysis of the returns of stock market indices is presented.

Suggested Citation

  • H. F. Coronel-Brizio & A. R. Hernandez-Montoya & Huerta-Quintanilla & M. Rodriguez-Achach & ., 2007. "Assessing symmetry of financial returns series," Papers physics/0701189, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0701189
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    Cited by:

    1. Sánchez-Cano, Julieta Evangelina, 2012. "The public policies of the mexican agricutural sector in the framework of the international economy," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(33), pages 45-77, primer tr.
    2. Jianwei Lin & Gechun Liang & Sen Wu & Harry Zheng, 2011. "The Valuation Of The Basket Cds In A Primary-Subsidiary Model," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 28(02), pages 213-238.
    3. Khaiwal Ravindra & Ashutosh Sarwa & Nidhi Bhatnagar & Ramandeep Kaur & Suman Mor, 2020. "Public perception about community reverse osmosis-treated water, its acceptability, and barriers in choice of safe drinking water," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(6), pages 5819-5831, August.
    4. Casu, Barbara & Girardone, Claudia, 2010. "Integration and efficiency convergence in EU banking markets," Omega, Elsevier, vol. 38(5), pages 260-267, October.
    5. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
    6. Rodríguez-Martínez, C.M. & Coronel-Brizio, H.F. & Hernández-Montoya, A.R., 2021. "A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    7. C. M. Rodr'iguez-Mart'inez & H. F. Coronel-Brizio & A. R. Hern'andez-Montoya, 2019. "A multi-scale symmetry analysis of uninterrupted trends returns of daily financial indices," Papers 1908.11204, arXiv.org.
    8. Boudghene Stambouli, A. & Khiat, Z. & Flazi, S. & Tanemoto, H. & Nakajima, M. & Isoda, H. & Yokoyama, F. & Hannachi, S. & Kurokawa, K. & Shimizu, M. & Koinuma, H. & Yassaa, N., 2014. "Trends and challenges of sustainable energy and water research in North Africa: Sahara solar breeder concerns at the intersection of energy/water," Renewable and Sustainable Energy Reviews, Elsevier, vol. 30(C), pages 912-922.

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