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Relevant bibliographies by topics / Co-skewness and co-kurtosis

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Journal articles

Academic literature on the topic 'Co-skewness and co-kurtosis'

Author: Grafiati

Published: 9 March 2023

Last updated: 10 March 2023

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Journal articles on the topic "Co-skewness and co-kurtosis"

1

Misra, Dheeraj, Sushma Vishnani, and Ankit Mehrotra. "Four-moment CAPM Model: Evidence from the Indian Stock Market." Journal of Emerging Market Finance 18, no. 1_suppl (2019): S137—S166. http://dx.doi.org/10.1177/0972652719831564.

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This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

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2

Oliveira, Alexandre Silva de, Luis Felipe Dias Lopes, and Eduardo Botti Abbade. "Coassimetria e cocurtose na análise dos preços das ações no mercado financeiro nacional." Revista de Administração da UFSM 3, no. 3 (2011): 326–45. http://dx.doi.org/10.5902/198346592502.

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The central issue of this research is to investigate and measuring the stock price in the brazilian financial market. It was investigate the influence of the third and fourth time in the pricing of assets, the influence of co-skewness in correlation with the proxy IBOV stocks, the influence of co-kurtosis in correlation with the proxy IBOV stocks, the influence of co-skewness and co-kurtosis in the correlation between the proxy IBOV and stocks, its performance compared with the CAPM and the increase of the accuracy. Is was developed literature research and study of time series of the stocks th

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3

Hasan, Md Zobaer, and Anton Abdulbasah Kamil. "Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency." Economics Research International 2014 (January 16, 2014): 1–9. http://dx.doi.org/10.1155/2014/253527.

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The objective of this paper is to present the technical efficiency of individual companies and their respective groups of Bangladesh stock market (i.e., Dhaka Stock Exchange, DSE) by using two risk factors (co-skewness and co-kurtosis) as the additional input variables in the Stochastic Frontier Analysis (SFA). The co-skewness and co-kurtosis are derived from the Higher Moment Capital Asset Pricing Model (H-CAPM). To investigate the contribution of these two factors, two types of technical efficiency are derived: (1) technical efficiency with considering co-skewness and co-kurtosis (WSK) and (

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4

Liow, Kim Hiang, and Lanz C. W. J. Chan. "Co‐skewness and Co‐kurtosis in Global Real Estate Securities." Journal of Property Research 22, no. 2-3 (2005): 163–203. http://dx.doi.org/10.1080/09599910500453798.

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5

Chaudhary, Rashmi, Dheeraj Misra, and Priti Bakhshi. "Conditional relation between return and co-moments – an empirical study for emerging Indian stock market." Investment Management and Financial Innovations 17, no. 2 (2020): 308–19. http://dx.doi.org/10.21511/imfi.17(2).2020.24.

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Due to many theoretical and practical shortcomings of the traditional CAPM model, this study aims at analyzing the CAPM with possible extensions. The analysis aims to know the empirical soundness of Conditional Higher Moment CAPM in emerging India’s capital market. The sample consists of 69 company’s daily stock price data from April 2004 to March 2019 from NSE 100. Panel data analysis is used on 21 cross-sections. The overall results show that when both up and down markets are incorporated separately, all three moments, namely, co-variance, co-skewness, and co-kurtosis, are priced during the

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6

Botond, Benedek, and Nagy Bálint Zsolt. "Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies." International Journal of Financial Markets and Derivatives 8, no. 1 (2021): 65. http://dx.doi.org/10.1504/ijfmd.2021.10036439.

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Zsolt, Nagy Bálint, and Benedek Botond. "Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies." International Journal of Financial Markets and Derivatives 8, no. 1 (2021): 65. http://dx.doi.org/10.1504/ijfmd.2021.113860.

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8

Arbia, Giuseppe, Riccardo Bramante, and Silvia Facchinetti. "Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis." Risks 8, no. 3 (2020): 95. http://dx.doi.org/10.3390/risks8030095.

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This article proposes a new method for the estimation of the parameters of a simple linear regression model which is based on the minimization of a quartic loss function. The aim is to extend the traditional methodology, based on the normality assumption, to also take into account higher moments and to provide a measure for situations where the phenomenon is characterized by strong non-Gaussian distribution like outliers, multimodality, skewness and kurtosis. Although the proposed method is very general, along with the description of the methodology, we examine its application to finance. In f

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9

Fernandes, Anderson Rocha de J., Simone Evangelista Fonseca, and Robert Aldo Iquiapaza. "Performance measurement models and their influence on net fundraising of investment funds." Revista Contabilidade & Finanças 29, no. 78 (2018): 435–51. http://dx.doi.org/10.1590/1808-057x201805330.

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ABSTRACT This article aims to analyze the relation between third- and fourth-order conditions and risk factors and their adequacy to return, performance, and net fundraising. The factors used to determine fund performance and, consequently, their relation with fundraising are: market return, size, book-to-market, profitability, investment, co-skewness, and co-kurtosis. The funds constituting the sample are those classified as Free Stocks (within the period from April 2001 to April 2015). Methodologically, this study has two phases. The first one refers to estimating the parameters that represe

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10

Bouri, Elie, Ladislav Kristoufek, and Nehme Azoury. "Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain." PLOS ONE 17, no. 11 (2022): e0277924. http://dx.doi.org/10.1371/journal.pone.0277924.

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Interactions between stock and cryptocurrency markets have experienced shifts and changes in their dynamics. In this paper, we study the connection between S&P500 and Bitcoin in higher-order moments, specifically up to the fourth conditional moment, utilizing the time-scale perspective of the wavelet coherence analysis. Using data from 19 August 2011 to 14 January 2022, the results show that the co-movement between Bitcoin and S&P500 is moment-dependent and varies across time and frequency. There is very weak or even non-existent connection between the two markets before 2018. Starting

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