SKEWNESS IN STOCK RETURNS: EVIDENCE FROM THE BUCHAREST STOCK EXCHANGE DURING 2000 – 2011
Clicks: 249
ID: 69865
2012
Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual stocks, but only a few present values significantly different from the characteristics of a normal distribution. We compare our results with skewness estimates for 21 major and emerging stock market indices around the world and find that such results are similar to other low capitalization and trading volume markets. For all the Romanian and international assets studied, the Studentized-Range (St-R) and Jarque-Bera (J-B) tests reject the hypothesis of normal distribution of daily returns.
| Reference Key |
panait2012skewnesschallenges
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| Authors | PANAIT, IULIAN;SLAVESCU, ECATERINA; |
| Journal | challenges of the knowledge society |
| Year | 2012 |
| DOI | DOI not found |
| URL | |
| Keywords |
Technology
Agriculture (General)
economics as a science
social sciences (general)
finance
social sciences
industries. land use. labor
economic theory. demography
political science
mathematics
electronic computers. computer science
political science (general)
risk in industry. risk management
accounting. bookkeeping
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