An analysis of skewness and skewness persistence in three emerging markets

This paper reports an investigation into the extent and persistence of skewness in stock returns in three emerging markets, namely the Czech Republic, Kenya and Poland. The study is undertaken using the extended skew normal distribution and an asymmetric version of the generalised error distribution. The motivation for this paper is the hypothesis that skewness is a particular feature of returns in emerging markets; it may lack persistence and may decline in absolute terms as time passes and the market matures. When daily returns are considered, the majority of stocks in all three markets exhibit a significant degree of skewness. The value of the skewness parameter is often different in each of the three estimation periods considered. Little evidence has been found to support the view that skewness is an artifact of emerging or evolving markets. Over the period covered by the study, the number of stocks with a significant degree of skewness has remained more or less the same. For weekly returns, the same conclusions apply to the Czech Republic and to Kenya, but there is far less evidence of skewness in weekly returns on Polish Stocks. There is consistent evidence of short-term reversion in daily returns; increases (decreases) in mean return and volatility imply that there will be a decrease (increase) in skewness in the next month. This effect does not persist over longer time horizons

An analysis of skewness and skewness persistence in three emerging markets

This paper reports an investigation into the extent and persistence of skewness in stock returns in three emerging markets, namely the Czech Republic, Kenya and Poland. The study is undertaken using the extended skew normal distribution and an asymmetric version of the generalised error distribution. The motivation for this paper is the hypothesis that skewness is a particular feature of returns in emerging markets; it may lack persistence and may decline in absolute terms as time passes and the market matures. When daily returns are considered, the majority of stocks in all three markets exhibit a significant degree of skewness. The value of the skewness parameter is often different in each of the three estimation periods considered. Little evidence has been found to support the view that skewness is an artifact of emerging or evolving markets. Over the period covered by the study, the number of stocks with a significant degree of skewness has remained more or less the same. For weekly returns, the same conclusions apply to the Czech Republic and to Kenya, but there is far less evidence of skewness in weekly returns on Polish Stocks. There is consistent evidence of short-term reversion in daily returns; increases (decreases) in mean return and volatility imply that there will be a decrease (increase) in skewness in the next month. This effect does not persist over longer time horizons

Differences of import requirements in agri-food trade – an explorative analysis of new data

This paper presents an analysis of requirements in international agri-food trade by applying new data collected in the EU project “NTM impact”. For the analysis, an index of regulatory heterogeneity in trade is developed so as to combine binary, ordered and quantitative information contents of different types of requirements. The results of the index analysis shed light on which requirements differ between pairs of trade partner countries and show which products are regulated more than others. In a second step, the results will be set into the context of trade indicators such as trade flows for example. The analysis of differences of requirements between countries can provide useful insights for policy-makers when deciding on convergence, harmonisation or equivalence of requirements or when solving market access issues due to regulatory heterogeneity

Stakeholder-designed scenarios for global food security assessments

To guide policymaking, decision makers require a good understanding of the long-term drivers of food security and their interactions. Scenario analysis is widely considered as the appropriate tool to assess ‘wicked problems’, such as ensuring global food security, that are characterized by a high level of complexity and uncertainty. This paper describes the development process, storylines and drivers of four new global scenarios that are specifically designed to explore global food security up to the year 2050. To ensure the relevance, credibility and legitimacy of the scenarios, they have been developed using a participatory process, involving a diverse group of stakeholders. The scenarios consist of storylines and a scenario database that presents projections for key drivers, which can be used as an input into global simulation models

Voedselprijzen en speculatie op agrarische termijnmarkten : literatuurstudie en interviews

Het LEI heeft informatie over kapitaalstromen op financiële termijnmarkten voor agrarische goederen bij elkaar gebracht. Daarnaast heeft het een literatuuronderzoek gedaan waarbij zowel kwantitatieve (21) als kwalitatieve (19) studies en opiniestukken zijn meegenomen. Het LEI heeft de literatuur zowel inhoudelijk samengevat als beoordeeld op kwaliteit. Daarnaast heeft het LEI op basis van beschikbare bronnen een overzicht gegeven van de mogelijke effecten van het beperken van derivatenhandel door middel van positielimieten. Profundo heeft een aantal pensioenfondsen en andere vermogensbeheerders (zoals banken) geïnterviewd om inzicht te krijgen over hun beleid en hun visie over financiële derivaten markten en voedselprijzen