Research Article
Time-Varying Risk Attitude and Conditional Skewness
Table 4
The correlation between the risk premium coefficient gamma and the conditional skewness.
(a) |
| | S&P 500 | Dow J. | NASDAQ | NYSE | N 225 | FTSE 100 | SSE |
| Pearson correlation | −0.106 | −0.223 | 0.175 | −0.118 | −0.308 | −0.246 | 0.158 | Kendall’s tau | −0.144 | −0.200 | 0.193 | −0.175 | −0.558 | −0.415 | 0.130 | Spearman’s rho | −0.211 | −0.295 | 0.272 | −0.255 | −0.756 | −0.591 | 0.183 |
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(b) |
| | DAX | CAC 40 | GSPTSE | MIBTEL | IGBM | BVSP | Hangseng |
| Pearson correlation | −0.438 | −0.402 | −0.156 | −0.232 | −0.358 | −0.474 | −0.371 | Kendall’s tau | −0.619 | −0.514 | −0.250 | −0.218 | −0.609 | −0.460 | −0.449 | Spearman’s rho | −0.818 | −0.714 | −0.368 | −0.321 | −0.808 | −0.644 | −0.632 |
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Note: all the values are significantly different from zero at 1% level.
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