Does average skewness matter in Singapore?

• Main Authors: See, Gideon Jun Hao, Tan, Gao Jie, Tan, Guang Feng
• 其他作者: Tang Yang
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2025
• 主題: Social Sciences; Skewness
• 在線閱讀: https://hdl.handle.net/10356/184428
• 機構: Nanyang Technological University

This paper investigates whether average skewness can predict future market excess returns in the Singapore stock market. Motivated by Jondeau et al. (2019), who initially established such a relationship in the U.S. market, and subsequent replications by Li et al. (2020) for Taiwan and Annaert et al....