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

(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

Note: all the values are significantly different from zero at 1% level.