Skewness and Asymmetry in Futures Returns and Volumes

36 Pages Posted: 23 Jan 2006

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Jiangxi University of Finance and Economics; Abu Dhabi University - College of Business Administration; Ho Chi Minh City University of Economics and Finance

Alex Eastman

Trinity College (Dublin) - Institute for International Integration Studies (IIIS)

Date Written: January 2006

Abstract

In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data representing daily and monthly returns and volumes. Tests of normality indicate that all daily returns and daily volumes are not normally distributed. Monthly returns and volumes display mixed results. Further, negative and positive excess returns are compared graphically for each contract. Nonparametric tests are then used to assess whether returns and volumes are symmetric about the mean concluding that daily returns and volumes are asymmetric. However, the results for monthly data are mixed. The Wilcoxon rank sum test suggests that although most contract returns appear asymmetric, soybean, cocoa, and 10 year US Treasury note returns are symmetric. Results for the monthly volume data are also mixed suggesting that the distributions may become more normal as the time period examined increases.

Keywords: Futures Markets, Skewness, Nonparametric, Asymmetric Returns

JEL Classification: C14, G13, G15

Suggested Citation

Lucey, Brian M. and Eastman, Alex, Skewness and Asymmetry in Futures Returns and Volumes (January 2006). IIIS Discussion Paper Series, Available at SSRN: https://ssrn.com/abstract=876405 or http://dx.doi.org/10.2139/ssrn.876405

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
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Jiangxi University of Finance and Economics ( email )

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China

Abu Dhabi University - College of Business Administration ( email )

PO Box 59911
Abu Dhabi, Abu Dhabi 59911
United Arab Emirates

Ho Chi Minh City University of Economics and Finance ( email )

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6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Alex Eastman

Trinity College (Dublin) - Institute for International Integration Studies (IIIS) ( email )

The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland

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