Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets

Tse, Yiuman

doi:10.1111/fire.12095

Cited by 12 publications

(7 citation statements)

References 86 publications

(192 reference statements)

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“…Monthly returns are calculated by compounding the daily returns, as in Bessembinder (1992). Focusing on liquid futures instead of individual stocks and indexes and looking at monthly data mitigate many issues related to market imperfection, such as the bid-ask spread, stale prices, short-sale constraints, and transaction costs (Tse, 2016). Focusing on liquid futures instead of individual stocks and indexes and looking at monthly data mitigate many issues related to market imperfection, such as the bid-ask spread, stale prices, short-sale constraints, and transaction costs (Tse, 2016).…”

Section: Data and Preliminary Resultsmentioning

confidence: 99%

“…Using the same approach, Moskowitz, Ooi, and Pedersen (2012, p. 247) point out that, in financial futures with little storage costs or convenience yield, the roll return is almost zero. Focusing on liquid futures instead of individual stocks and indexes and looking at monthly data mitigate many issues related to market imperfection, such as the bid-ask spread, stale prices, short-sale constraints, and transaction costs (Tse, 2016). Applying futures contracts to a trading strategy is much more practical than doing so in stocks and nontradable indexes.…”

Section: Data and Preliminary Resultsmentioning

confidence: 99%

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Return predictability and contrarian profits of international index futures

Tse

2017

Journal of Futures Markets

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Using futures markets, we examine the lead‐lag relationships among 11 industrialized countries. Lagged monthly returns for several countries have return predictability comparable to those in the United States for the 1988–2016 period. The international futures markets are more correlated in market downturns, while the lead‐lag relationships are more significant in market upturns. Consistent with these asymmetric relationships, a contrarian strategy (in particular, by buying the losers) offers significant profits in an up market but not in a down market. The contrarian profits are not captured by a factor model using global equity factors and momentum profits.

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Section: Data and Preliminary Resultsmentioning

confidence: 99%

Section: Data and Preliminary Resultsmentioning

confidence: 99%

Return predictability and contrarian profits of international index futures

Tse

2017

Journal of Futures Markets

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“…For the dependent variable, we use two measures to proxy for a company's total risk exposure, namely the standard deviation of returns and the semi-deviation of returns for stocks. The cross-sectional regression model is specified as follows in Equation ( 12) (Following Tse [63], the present study also excludes constant term in the second stage cross-sectional regressions. ).…”

Section: Downside Multifactor Asset Pricing Models With a Two-pass Regressionmentioning

confidence: 99%

Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Hoque

Low

2020

Mathematics

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This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and exchange rate have significant impacts on oil and gas stock returns, but effects are heterogeneous depending on an individual stock. The two-stage cross-section estimations provide new insights about investors’ risk-return trade-off when facing downside risks. The results show that downside risk exposures to market, momentum, oil, and exchange rate factors are negatively priced in the Malaysian oil and gas stocks. This implies that investors are penalized for their downside exposure to these risk factors, and such inference is consistent with the risk preference explanation of prospect theory. Liquefied natural gas (LNG) is the only risk factor found to be positively priced in the returns of oil and gas stocks. Additionally, we find a negative relationship between LNG factor and total risk. This suggests that as the risk exposure to LNG increases, the total risk decreases, implying that the LNG risk factor is an idiosyncratic risk and not a systematic risk factor. Such interpretation is consistent with the correlation result, which shows no association between LNG and the market risk factor.

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“…towards higher values for elongation to the asymmetric distribution with negative skewness is pretty small[TSE 2016]. In the moments obtained in wells sampled all positive skewness other than pH was skewed.…”

mentioning

confidence: 99%

Applying results of the chemical analyses in determining groundwater quality for drinking, agricultural and industrial uses: The case study Rafsanjan plain, Iran

Jahangir¹,

Soltani²

2019

Journal of Water and Land Development

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Based on chemical analyses, the quality of ground waters for drinking, agricultural and industrial purposes was determined in Rafsanjan Plain-Iran. Samples for analyses were taken from 22 wells in 2012. Because of high water hardness and total dissolved solids content, water was found to be unsuitable for drinking purposes. Water quality for agriculture was determined with the use of the Wilcox method. Among the analysed water, 10.33% were attributed to C3-S1 class (high electrolytic conductivity and low sodium adsorption ratio), 59.5% to class C4-S1 (very high EC and low SAR) and 30.17% to class C4-S2 (very high EC and medium SAR). 89.67% of studied wells were unsuitable for agriculture. Because of corrosive water properties all but two wells on Rafsanjan Plain were undesirable for use in the industry. The results of qualitative analyses were presented in GIS and in databases to support making decision and management of groundwater on Rafsanjan Plain.

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Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets

Cited by 12 publications

References 86 publications

Return predictability and contrarian profits of international index futures

Return predictability and contrarian profits of international index futures

Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Applying results of the chemical analyses in determining groundwater quality for drinking, agricultural and industrial uses: The case study Rafsanjan plain, Iran

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