On the predictive ability of conditional market skewness
This study analyzes the capacity of conditional market skewness to predict future market returns over a recent period of time, which contains the last two major market crises: the financial crisis of 2008 and the COVID-19 pandemic in 2020. The results show that conditional market skewness performs w...
| Autor: | |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2023 |
| País: | España |
| Institución: | Universidad de Alcalá (UAH) |
| Repositorio: | e_Buah Biblioteca Digital Universidad de Alcalá |
| Idioma: | inglés |
| OAI Identifier: | oai:ebuah.uah.es:10017/63438 |
| Acceso en línea: | http://hdl.handle.net/10017/63438 https://dx.doi.org/10.1016/j.qref.2022.11.001 |
| Access Level: | acceso abierto |
| Palabra clave: | Market return predictions Conditional skewness Sample skewness Conditional variance Sample variance G11 G12 G14 G17 Economía Empresa Economics Management science |
| Sumario: | This study analyzes the capacity of conditional market skewness to predict future market returns over a recent period of time, which contains the last two major market crises: the financial crisis of 2008 and the COVID-19 pandemic in 2020. The results show that conditional market skewness performs well in terms of predicting future S&P 500, Nasdaq Composite and EUR/USD returns, even after controlling for business cycle fluctuations. However, contrary to what is expected, it is found that during this period containing two major financial crises, the relationship between conditional market asymmetry and future returns is positive. The rationale behind this finding is that during periods with major crises, when large drops in asset prices that sharply reduce market asymmetry occur, many investors find prices attractive, increasing buying pressure and thus reducing market returns in the next period. |
|---|