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Persistence and Predictability of Skewness in Country Equity Market Returns

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Abstract

This article explores the skewness characteristics of eighteen developed country equity market returns. The empirical results indicate that country skewness tends to have the same sign for different measurement intervals. Also, the magnitude of country skewness increases as the measurement interval increases. Further, the results indicate that positive skewness is not a predominant phenomenon. In addition, this study examines the predictability of country skewness using a Spearman Rank Order test and an autoregression test. The findings generally indicate that past monthly country skewness could not be used to reliably predict the extent of skewness of future periods.

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Authors and Affiliations

  1. School of Economics and Finance, RMIT, Australia

    Eric Lai & Robert Brooks

  2. Department of Accounting and Finance, Monash University, Australia

    Robert Faff

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  1. Eric Lai
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  2. Robert Brooks
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  3. Robert Faff
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Lai, E., Brooks, R. & Faff, R. Persistence and Predictability of Skewness in Country Equity Market Returns. J. Quant. Econ. 1, 36–49 (2003). https://doi.org/10.1007/BF03404647

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