2020
DOI: 10.1016/j.pacfin.2020.101382
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Does average skewness matter? Evidence from the Taiwanese stock market

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Cited by 4 publications
(3 citation statements)
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“…(2020), who found significant positive coefficients of average skewness in only four out of 22 international developed markets. Our results are also consistent with the findings of Li et al (2020) and Kim and Park (2020), who reported an insignificant relationship between average skewness and market returns in Taiwan and South Korea, respectively. Further, we report that EW kurtosis is significant in Indonesia (0.216, t 5 2.76) and Pakistan (0.356, t 5 3.37) only, whereas VW kurtosis significantly predicts subsequent market excess returns in China (0.585, t 5 2.87), Pakistan (0.267, t 5 2.34), Philippines (0.365, t 5 2.67) and South Korea (À0.575, t 5 À1.85).…”
Section: Resultssupporting
confidence: 92%
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“…(2020), who found significant positive coefficients of average skewness in only four out of 22 international developed markets. Our results are also consistent with the findings of Li et al (2020) and Kim and Park (2020), who reported an insignificant relationship between average skewness and market returns in Taiwan and South Korea, respectively. Further, we report that EW kurtosis is significant in Indonesia (0.216, t 5 2.76) and Pakistan (0.356, t 5 3.37) only, whereas VW kurtosis significantly predicts subsequent market excess returns in China (0.585, t 5 2.87), Pakistan (0.267, t 5 2.34), Philippines (0.365, t 5 2.67) and South Korea (À0.575, t 5 À1.85).…”
Section: Resultssupporting
confidence: 92%
“…(2020), who found significant positive coefficients of average skewness in only four out of 22 international developed markets. Our results are also consistent with the findings of Li et al. (2020) and Kim and Park (2020), who reported an insignificant relationship between average skewness and market returns in Taiwan and South Korea, respectively.…”
Section: Resultssupporting
confidence: 92%
See 1 more Smart Citation