The Bootstrap Approach for Testing Skewness Persistence

This study presents a new methodology for testing changes in skewness between time periods (or samples) using the bootstrap method. A Monte Carlo simulation experiment was conducted to compare the effectiveness of the bootstrap method with the method suggested by Lau, Wingender and Lau (1989) to test skewness persistence. The results show the bootstrap method to be more powerful than the other method. The bootstrap method was also used to determine the persistence of skewness in stock returns. The results show that, in a large percentage of stocks, skewness persists over time.

• 저널Management Science · 39(4) · 487–491
• 토픽Financial Risk and Volatility Modeling · Finance
• DOI10.1287/mnsc.39.4.487
• 저자Krishnamurty Muralidhar