Journal of Financial Risk Management

Volume 3, Issue 2 (June 2014)

ISSN Print: 2167-9533   ISSN Online: 2167-9541

Google-based Impact Factor: 1.09  Citations  

Is the Distribution of Returns Symmetric?—Empirical Evidence from Agricultural Futures Market of China

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DOI: 10.4236/jfrm.2014.32004    4,470 Downloads   6,210 Views  
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ABSTRACT


The presence of asymmetry in the distribution of financial returns is not only an important factor which should be considered in the process of optimal portfolio allocation, but also one of the variables having close relationship with the recognition and measurement of financial risk. This paper adopts a method based on bootstrap to measure asymmetry in the distribution of financial returns, as proposed by Lisi (2007). Results of asymmetry test on the distribution of four representative price index series coming from agricultural futures market in China are presented, and the four indexes are hard wheat index, cotton index, sugar index and soybean oil index. The results indicate that, except for the distribution of soybean oil index return which has an evident asymmetry characteristic, the other three ones all can be considered symmetric at a high confidence level. This paper contributes to asymmetry evaluation in the marginal distribution of financial returns, as well as the study of distribution characteristics in agricultural futures index returns of China, in the way of providing new empirical evidence.


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Wang, P. and Xiong, T. (2014) Is the Distribution of Returns Symmetric?—Empirical Evidence from Agricultural Futures Market of China. Journal of Financial Risk Management, 3, 29-39. doi: 10.4236/jfrm.2014.32004.

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