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Skewness and index futures return
Author(s) -
Jondeau Eric,
Wang Xuewu,
Yan Zhipeng,
Zhang Qunzi
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22112
Subject(s) - skewness , futures contract , index (typography) , econometrics , economics , market liquidity , sample (material) , financial economics , computer science , monetary economics , physics , thermodynamics , world wide web
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.