Asymmetric return patterns: evidence from 33 international stock market indices

Citation

Evans T & McMillan D (2009) Asymmetric return patterns: evidence from 33 international stock market indices. Applied Economics Letters, 16 (8), pp. 775-779. https://doi.org/10.1080/13504850701222020

Abstract
Recent evidence has suggested an asymmetric effect in US equity return dynamics on the basis of positive and negative consecutive return or holding days. This note extends that analysis by considering 33 international stock indices and longer consecutive day and holding periods. The results of this analysis may be of interest to those engaged in both technical trading and portfolio management. Our results support asymmetric return patterns for all stock markets and on the two definitions of return continuations. Further, we also identify that consecutive positive return days exhibit greater persistence than consecutive negative return days. Finally, using the holding-period definition we also identify whether longer holding periods are always associated with increased returns. Evidence whilst generally supportive is not ubiquitous, furthermore, the majority of the increase in returns occurs over a holding period of 7–10 days, with more limited increases over the remainder of the 45-day holding-period considered. This latter result may be of particular importance to those engaged in portfolio building.

Journal
Applied Economics Letters: Volume 16, Issue 8

People

Professor David McMillan

Professor in Finance, Accounting & Finance