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This paper investigates a negative relationship between skewness and expected returns in China's commodity futures market. Unlike the impact of skewness in the US commodity markets, the impact of skewness in Chinese commodity markets is completely monotonic and asymmetric, which indicates more potential arbitrage opportunities in China's commodity markets. Also, we demonstrate that skewness is an...
This paper examines the relationship between skewness of the futures‐spot basis and expected currency spot returns. The empirical results show that the expected spot returns are negatively correlated with the basis skewness. We find that the basis skewness exhibits statistically significant in‐sample and out‐of‐sample forecasting power. Furthermore, the basis skewness beat the random walk (without...
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