Are International Equity Markets Really Skewed?

Colm Kearney and Margaret Lynch

The Institute for International Integration Studies Discussion Paper Series from IIIS

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. Classification-

Keywords: Asymmetric returns; skewness; international equity markets. (search for similar items in EconPapers)
Date: 2005-04-20
New Economics Papers: this item is included in nep-cfn and nep-rmg
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