Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258723 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 12 [Article No.:] 620 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock returns and risk-neutral skewness evaluated from the options market. We find a significant positive relationship between one-month-ahead market return and average realized skewness in the energy market. This unique feature should be noted by investors and carefully considered by energy policymakers.
Subjects: 
realized skewness
nonparametric risk-neutral skewness
return predictability
JEL: 
G12
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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