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RESEARCH PRODUCT

Asymmetries and tails in stock index returns: are their distributions really asymmetric?

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Abstract This paper examines the symmetry of the distribution of four major stock index returns: Standard and Poor's 500, Dow-Jones Industrial, Nikkei 225, and Financial Times 100, from the stock markets of New York, Tokyo and London. The symmetry of the whole distributions, of the different intervals, and of the tails, is analysed. Clear, strong asymmetries are not found. In particular, for different stock indexes and for different sample periods, the probabilities of occurrence of extreme downward and upward movements do not seem to be different.