Does average skewness matter in Singapore?

• Main Authors: See, Gideon Jun Hao, Tan, Gao Jie, Tan, Guang Feng
• Other Authors: Tang Yang
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2025
• Subjects: Social Sciences; Skewness
• Online Access: https://hdl.handle.net/10356/184428

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....