Skewness


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Related to Skewness: standard deviation, kurtosis

Skewness

Negative skewness means there is a substantial probability of a big negative return. Positive skewness means that there is a greater-than-normal probability of a big positive return.
References in periodicals archive ?
The values of Skewness and Kurtosis ranged between -2 to + 2 and they are statistically acceptable (George and Mallery, 2010).
On the other hand, Mg and TH express moderate negative skewness -0.6506 and - 0.6873 and high kurtosis values 2.5862 and 2.6506 respectively.
Finally, I calculated an increase in respect score for all participants by subtracting ratings for like-minded couples from ratings of different- minded couples (skewness = 0.17 with SE = 0.22).
Therefore, as a proxy for arbitrage cost, we use a composite lottery measure (LOTT) of four lottery features (low price, high idiosyncratic volatility, high skewness, and high average prior maximum returns [MAX]).
However, Monte Carlo simulations are problematic for the computation of higher-order moments such as skewness because these higher-order moments are more sensitive to simulation error.
The skewness in panel A displays negative numbers except for the highest volatility portfolio.
The parameters [[beta].sub.i], [[gamma].sub.i] and [[delta].sub.i] represent the contribution in variance, skewness, and kurtosis of the asset i for the market portfolio.
Considering that the majority of the studies approach this spillover issue only in the stock markets and the indexes of the developed countries for the developing ones, the study aims to answer the following question: How do the level 2 and 3 ADR markets of Latin American companies behave in relation to the main developed and developing capital markets of Latin America as part of an international financial crisis, regarding the phenomena of interdependence and skewness of returns and volatility?
showing that in the small, [d.sub.u] measures the trade-off between the difference in the means and the difference in the third moments, or skewness of the random incomes, with greater negative skewness requiring a higher expected return to a degree governed by the magnitude of [d.sub.u] > 0.
For a nonnal distribution, skewness equates to zero and kurtosis equates to three.
Regarding the emerging stock market, there were quite a number of studies looking at the correlation between skewness and kurtosis.