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Skewness and asymmetry in futures returns and volumes

Alexander Eastman and Brian Lucey ()

Applied Financial Economics, 2008, vol. 18, issue 10, 777-800

Abstract: In this article we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity and interest rate market sectors. Tests of normality indicate that all daily returns and daily volumes are not normally distributed. Monthly returns and volumes display mixed results. Furthermore, negative and positive excess returns are compared for each contract. Nonparametric tests are used to assess whether returns and volumes are symmetric about the mean, concluding that daily returns and volumes are asymmetric. However, the results for monthly data are mixed. The Wilcoxon rank sum test suggests that although most contract returns appear asymmetric, soybean, cocoa and 10-year US Treasury note returns are symmetric. Results for the monthly volume data are also mixed suggesting that the distributions may become more normal as the time period examined increases.

Date: 2008
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