THE BOOTSTRAP APPROACH FOR TESTING SKEWNESS PERSISTENCE

This study presents a new methodology for testing changes in skewness between time periods (or samples) using the bootstrap method. A Monte Carlo simulation experiment was conducted to compare the effectiveness of the bootstrap method with the method suggested by Lau, Wingender a nd Lau (1989) to test skewness persistence. The results show the boots trap method to be more powerful than the other method. The bootstrap m ethod was also used to determine the persistence of skewness in stock returns. The results show that, in a large percentage of stocks, skewn ess persists over time.