The Realized Skewness of Index Futures and its Return and Volatility

• Main Authors: LAI, CHEN-WEI, 賴建葦
• Other Authors: CHEN,CHIN-HO
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/eya96b

碩士 === 逢甲大學 === 財務金融學系 === 106 === This study investigates the effect of realized return skewness on the future return and volatility in the futures market. We measure the realized skewness following the approach of Amaya, Christoffersen, Jacobs, and Vasquez (2015). Based on the intraday data set of the Taiwan index futures market from January 2007 to December 2014, we find that return skewness is positively related to futures return. This result implies that in the futures market, investors prefer investment with positive realized return skewness, that is, investing in index futures is likely to receive higher return in the futures market. This behavior is similar to the investors who prefer to trade lottery stocks, as found by Kumar (2009). In addition, we also find the negative relation between return skewness and volatility. The negative skewness is accompanied with relatively large market fluctuation, which implies that there is a financial leverage effect in the futures market.