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Are International Equity Markets Really Skewed?

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  • Colm Kearney
  • Margaret Lynch

Abstract

Although the extreme tails of the distributions of equity returns tend to exhibit more negative than positive returns, very few studies have analysed how pervasive is skewness across entire distributions. We use daily returns on 6 international stock market indices from Britain, France, Germany, Italy, Japan and the United States over 24 years from January 1978 to February 2002 to search for skewness in the tails, in different intervals, and in the entire distributions using binomial distribution tests and two distribution free tests, the Wilcoxon Rank Sum Test and the Siegel Tukey test. We find limited evidence of statistically significant skewness in the tails, with more skewness closer to the means. Classification-

Suggested Citation

  • Colm Kearney & Margaret Lynch, 2005. "Are International Equity Markets Really Skewed?," The Institute for International Integration Studies Discussion Paper Series iiisdp040, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp040
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    Cited by:

    1. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
    2. Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 777-800.
    3. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.

    More about this item

    Keywords

    Asymmetric returns; skewness; international equity markets.;
    All these keywords.

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