(2020-12-22) Iliopoulou, Alexia; Ηλιοπούλου, Αλεξία; Pantazis, Victor; Πανταζής, Βίκτωρ; Athens University of Economics and Business, Department of Accounting and Finance; Kavousanos, Emmanuel; Moutos, Thomas; Drakos, Konstantinos
In this study we further investigate the relationship between skewness and kurtosis of returns, as explored and proposed by M.Cristelli (2012), mainly when the sample deviates from normality through the existence of extreme events, such as the Global Financial Crisis. We test its robustness for the field of shipping and compare it to previous definitions of the skewness-kurtosis relationship, in terms of their ‘fit’ on the S-K plane. Taking into account the nature of freight rates and shipping stock returns which are known for their high fluctuations, it is very interesting to examine the behaviour of these samples’ higher moments when deviating from normality.
