Skewness and index futures return

Eric Jondeau, Xuewu Wang, Zhipeng Yan, Qunzi Zhang

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling for the liquidity risk or for the current business cycle conditions. We also find that individual skewness performs very well at predicting index futures returns out-of-sample.

Original languageEnglish (US)
Pages (from-to)1648-1664
Number of pages17
JournalJournal of Futures Markets
Issue number11
StatePublished - Nov 1 2020

All Science Journal Classification (ASJC) codes

  • Accounting
  • General Business, Management and Accounting
  • Finance
  • Economics and Econometrics


  • average skewness
  • index futures return
  • return predictability


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