Average Skewness in Global Equity Markets

International Review of Finance, forthcoming

48 Pages Posted: 20 Oct 2020 Last revised: 19 Sep 2022

See all articles by Yigit Atilgan

Yigit Atilgan

Sabanci University

K. Ozgur Demirtas

Sabanci University Graduate School of Management

A. Doruk Gunaydin

Sabanci University

Imra KIRLI

Sabanci University - School of Management

Date Written: September 24, 2020

Abstract

This paper examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, documented by Jondeau et al. (2019, JFE) for US market returns in an international setting. First, we confirm the validity of the results in the original study and show that the intertemporal relation between average skewness and aggregate returns becomes weaker in an alternative sample period. Second, when we repeat the analysis in 22 developed non-US markets, we find that average skewness has no robust predictive power for future market returns. The loss of forecasting power in the international sample does not depend on the method used to calculate average skewness or the regression specification and is supported by additional out-of-sample tests and subsample analysis.

Keywords: equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

JEL Classification: G11, G12, G15

Suggested Citation

Atilgan, Yigit and Demirtas, K. Ozgur and Gunaydin, A. Doruk and KIRLI, Imra, Average Skewness in Global Equity Markets (September 24, 2020). International Review of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3699127 or http://dx.doi.org/10.2139/ssrn.3699127

Yigit Atilgan (Contact Author)

Sabanci University ( email )

Orta Mahalle Üniversite Caddesi 27
Istanbul, Orhanli, 34956 Tuzla 34956
Turkey

K. Ozgur Demirtas

Sabanci University Graduate School of Management ( email )

Sabanci University, School of Management
Orhanli Tuzla
Orhanlı-Tuzla, Istanbul, 34956
Turkey
(+90) 216-483-9985 (Phone)
(+90) 216-483-9699 (Fax)

A. Doruk Gunaydin

Sabanci University ( email )

School of Management
Orhanli Tuzla
İstanbul, 34956
Turkey

Imra KIRLI

Sabanci University - School of Management ( email )

Istanbul
Turkey

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