Skewness in financial returns

Article Abstract:

Research was conducted to examine the symmetry of the unconditional distribution of daily financial returns. Three daily spot exchange rates and nine daily stock indexes were taken into account. Symmetry tests presented serious problems due to sample skewness. These problems included sensitivity in relation to extreme returns, ignorance of the true underlying distribution and of the sample distribution of the statistic. Results indicate that daily financial returns in the majority of markets are symmetric.

Research, Prices and rates, Stock-exchange, Stock exchanges, Foreign exchange, Foreign exchange rates, Asymptotic distribution (Probability theory)

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Measuring cash-futures temporal effects in the UK using partial adjustment factors

Article Abstract:

Estimators of partial adjustment factors were developed to study the nature and extent of intertemporal adjustments across stock index futures and cash markets in the UK, and was shown to have a limited predictive ability in the stock index futures market than in the cash markets. The effectivity of the partial adjustment factor estimators is derived from its basis in the co-variance structure of returns in cash and futures markets, where asynchronicities and variance were factored in.

Models, Futures market, Futures markets, Stock index futures

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• Abstracts: Settlement, tax and non-synchronous effects in the basis of U.K. stock index futures. Asymmetric information, dividend reductions, and contagion effects in bank stock returns

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