Time-Varying Risk Attitude and Conditional Skewness

Table 2

Risk premium coefficients and skewness of indices.

	SK1	SK2	𝛾	𝑃 value
S&P 500	−0.114384	−0.070551	0.059168	0.0026
Dow Jones	0.047682	−0.047682	0.055383	0.0046
NASDAQ	0.175155	−0.057890	0.050780	0.0108
NYSE	−0.283905	−0.074509	0.070776	0.0004
Nikkei225	−0.292542	−0.031569	0.036404	0.0763
FTSE 100	−0.106906	−0.048346	0.052449	0.0098
SSE	−0.105263	−0.040100	0.046433	0.0096
DAX	0.070301	−0.066459	0.068993	0.0005
CAC 40	0.052661	−0.032634	0.047085	0.0193
GSPTSE	−0.679786	−0.045354	0.074935	0.0001
MIBTEL	−0.158677	−0.065010	0.056490	0.0044
IGBM	−0.061860	−0.063446	0.095071	0.0000
BVSP	−0.093354	−0.048321	0.080769	0.0001
Hangseng	0.037793	−0.029994	0.048903	0.0111