Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)

Carlos Machado-Santos () and Ana Cristina Fernandes ()
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Carlos Machado-Santos: UTAD University, Apartado, Portugal
Ana Cristina Fernandes: University of Minho, Braga, Portugal

Czech Journal of Economics and Finance (Finance a uver), 2005, vol. 55, issue 9-10, 460-470

Abstract: This paper addresses the issue of symmetry in financial returns. The return distributions of the major stocks traded on the Portuguese market and included in the PSI-20 Index are examined for periods from four to nine years. The results show that the symmetry of the returns is rejected against several alternative distributions. Statistically significant differences between returns below and above the mean are detected, which provides additional evidence of skewness in the return distributions. In addition, as observed in other studies, it is interesting to note that such results are similar to other low-capitalization and low-volume markets, which also exhibit asymmetric return distributions.

Keywords: stock markets; skewness; financial returns (search for similar items in EconPapers)
JEL-codes: C14 G12 G15 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:55:y:2005:i:9-10:p:460-470

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