Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines

This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of mark...

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Detalles Bibliográficos
Autor principal: Shum, Wai Yan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7148999/
http://dx.doi.org/10.1016/j.najef.2019.101070
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author Shum, Wai Yan
author_facet Shum, Wai Yan
author_sort Shum, Wai Yan
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description This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of market decline but have negative, positive or no impacts during periods of market growth. This evidence reconciles conflicting evidence in recent empirical studies on the relationship among heterogeneous beliefs, short sale restrictions and conditional skewness.
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spelling pubmed-71489992020-04-13 Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines Shum, Wai Yan The North American Journal of Economics and Finance Article This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of market decline but have negative, positive or no impacts during periods of market growth. This evidence reconciles conflicting evidence in recent empirical studies on the relationship among heterogeneous beliefs, short sale restrictions and conditional skewness. Elsevier Inc. 2020-01 2019-09-21 /pmc/articles/PMC7148999/ http://dx.doi.org/10.1016/j.najef.2019.101070 Text en © 2019 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Shum, Wai Yan
Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
title Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
title_full Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
title_fullStr Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
title_full_unstemmed Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
title_short Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
title_sort modelling conditional skewness: heterogeneous beliefs, short sale restrictions and market declines
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7148999/
http://dx.doi.org/10.1016/j.najef.2019.101070
work_keys_str_mv AT shumwaiyan modellingconditionalskewnessheterogeneousbeliefsshortsalerestrictionsandmarketdeclines

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