Average Skewness in Global Equity Markets

41 Pages Posted: 20 Oct 2020

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, after confirming the validity of the US results for the sample period between 1990 and 2016, we find that the intertemporal relation between average skewness and future market returns becomes either insignificant or marginally significant when the sample period is extended. Second, when we repeat the analysis in 22 developed non-US markets, we find that average skewness has no robust predictive power. The inability of average skewness to forecast market returns does not depend on the method used to calculate average skewness or the regression specification.

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). 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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