Are International Equity Markets Really Asymmetric?

29 Pages Posted: 8 Jun 2005 Last revised: 5 Jan 2011

See all articles by Colm Kearney

Colm Kearney

Monash University - Monash Business School

Margaret Lynch

Trinity College (Dublin) - Institute for International Integration Studies (IIIS)

Date Written: November 1, 2004

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.

Keywords: Asymmetric returns, skewness, international equity markets

JEL Classification: C14, G15

Suggested Citation

Kearney, Colm and Lynch, Margaret, Are International Equity Markets Really Asymmetric? (November 1, 2004). Applied Financial Economics, Vol. 17, No. 5, 2007, IIIS Discussion Paper No. 40, Available at SSRN: https://ssrn.com/abstract=739087

Colm Kearney (Contact Author)

Monash University - Monash Business School ( email )

Sir John Monash Drive
Caulfield
Melbourne, Victoria 3168
Australia
+353399031021 (Phone)

Margaret Lynch

Trinity College (Dublin) - Institute for International Integration Studies (IIIS) ( email )

The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland

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