TITLE:
Is the Distribution of Returns Symmetric?—Empirical Evidence from Agricultural Futures Market of China
AUTHORS:
Peng Wang, Tao Xiong
KEYWORDS:
Agricultural Product Futures Market, Asymmetry, Bootstrap
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.3 No.2,
June
12,
2014
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.