SKEWNESS IN STOCK RETURNS: EVIDENCE FROM THE BUCHAREST STOCK EXCHANGE DURING 2000 – 2011

Clicks: 359
ID: 69865
2012
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Steady

Ranked #3 of 9 articles by views in challenges of the knowledge society

Most read Least read

Bar heights use a square-root scale.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
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.
Reference Key
panait2012skewnesschallenges Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors PANAIT, IULIAN;SLAVESCU, ECATERINA;
Journal challenges of the knowledge society
Year 2012
DOI
DOI not found
URL
http://cks.univnt.ro/uploads/cks_2012_articles/index.php?dir=02_economics%2F&download=cks_2012_economics_art_043.pdf
Keywords
Technology Agriculture (General) economics as a science social sciences (general) finance social sciences industries. land use. labor economic theory. demography political science mathematics electronic computers. computer science political science (general) risk in industry. risk management accounting. bookkeeping

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.