Skewness and index futures return

Eric Jondeau, Xuewu Wang, Zhipeng Yan, Qunzi Zhang

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

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
Volume40
Issue number11
DOIs
StatePublished - Nov 1 2020

All Science Journal Classification (ASJC) codes

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

Keywords

  • average skewness
  • index futures return
  • return predictability

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