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A Comparative Study of Ten Asymmetry Tests

Author

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  • Holgersson, Thomas

    (Jönköping International Business School)

Abstract

In this paper we investigate the properties of some common test for asymmetry. The tests are based on moments, order statistics and empirical characteristic functions (ecf) respectively. These tests have completely different origins, relies on different characterizations of symmetry and does hence have very different size and power properties. It is demonstrated that tests based on empirical characteristic functions are strongly dependent on the choice of working region and that some previously proposed tests may be improved considerably by using bootstrapped critical values. It is also concluded that no test is uniformly better than the others but that the ecf tests have best over-all properties.

Suggested Citation

  • Holgersson, Thomas, 2011. "A Comparative Study of Ten Asymmetry Tests," JIBS Working Papers 2011-4, Jönköping International Business School.
    • Handle: RePEc:hhb:hjacfi:2011_004
    as

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