Working Papers Home

2015 Working Papers
2014 Working Papers
2013 Working Papers
2012 Working Papers
2011 Working Papers
2010 Working Papers
2009 Working Papers
2008 Working Papers
2007 Working Papers
2006 Working Papers
2005 Working Papers
2004 Working Papers
2003 Working Papers
2002 Working Papers
2001 Working Papers
2000 Working Papers

Search All Papers

JEL Classification

Past Working Papers (Prior to 2000)

Office of Research
Home Page

Information on
Submitting a Paper

"A Test for Asymmetry with Leptokurtic Financial Data"

Anil K. Bera and Gamini Premaratne


First Author :

Anil K. Bera
University of Illinois at Urbana-Champaign
1206 S. Sixth Street, M/C 706
Champaign, IL 61820

Second Author :

Gamini Premaratne
National University of Singapore

Abstract :
Most of the tests for asymmetry are developed under the null hypothesis of normal distribution. As is well known, many financial data exhibits fat tail, and commonly used tests (such as the standard root-b1 test based on sample skewness) are not valid for leptokurtic financial data. Also, the root-b1 test uses the third moment, which may not be robust in the presence of gross outliers. In this paper, we propose a simple parametric test for symmetry based on the Pearson type IV family of distributions, which take account of leptokurtosis explicitly. Our test is based on a function that bounded over the real line, and we expect it to be more well behaved than the test based on sample skewness (third moment). Results from our Monte Carlo study reveal that the suggested test performs quite well in finite samples, and it is robust to excess kurtosis. We also apply the test to stock return data to illustrate its usefulness.
i had a dream i cheated on my boyfriend link i think my boyfriend cheated on me
Manuscript Received : 2001
Manuscript Published : 2001
This abstract has been viewed 2628 times.
Click here to view the full text of this paper.