EconPapers    
Economics at your fingertips  
 

Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011

Iulian Panait () and Ecaterina Oana Slavescu

MPRA Paper from University Library of Munich, Germany

Abstract: Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual stocks, but only a few present values significantly different from the characteristics of a normal distribution. We compare our results with skewness estimates for 21 major and emerging stock market indices around the world and find that such results are similar to other low capitalization and trading volume markets. For all the Romanian and international assets studied, the Studentized-Range (St-R) and Jarque-Bera (J-B) tests reject the hypothesis of normal distribution of daily returns.

Keywords: Skewness; stock returns; asymmetric returns; frontier and emerging markets (search for similar items in EconPapers)
JEL-codes: G01 G12 G14 G15 (search for similar items in EconPapers)
Date: 2012-05-11
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in CKS – eBook 2012 (2012): pp. 1592-1600

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/38751/1/MPRA_paper_38751.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:38751

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:38751