EIRP Proceedings, Vol 3 (2008)
TESTAREA PUTERII COEFICIENTULUI DE ASIMETRIE CA SURSA DE RISC LA BURSA DE VALORI BUCURESTI
Abstract
This paper explores the power of the skewness coefficient în explaining stock returns on the
Romanian Equity market. We employ weekly observations for stock returns (logarithmic) for a six years period.
We include în our analysis 31 common stocks listed on Bucharest Stock Exchange during the considered period.
Skewness coefficients are estimated for each of the 31 stocks and these coefficients are further included în a
regression model as the independent variable, where stock returns are the dependent variable. We test the
relationship between the two indicators for the whole period, for annual intervals and for portfolios formed after
the skewness coefficient. Choosing a 95% confidence level, we find that skewness helps explaning stock returns
on the Romanian equity market.
Romanian Equity market. We employ weekly observations for stock returns (logarithmic) for a six years period.
We include în our analysis 31 common stocks listed on Bucharest Stock Exchange during the considered period.
Skewness coefficients are estimated for each of the 31 stocks and these coefficients are further included în a
regression model as the independent variable, where stock returns are the dependent variable. We test the
relationship between the two indicators for the whole period, for annual intervals and for portfolios formed after
the skewness coefficient. Choosing a 95% confidence level, we find that skewness helps explaning stock returns
on the Romanian equity market.
References
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