Skewness and Asymmetry in Futures Returns and Volumes

In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data representing daily and monthly returns and volumes. Tests of normality indicate that all daily returns and daily volumes are not normally distributed. Monthly returns and volumes display mixed results. Further, negative and positive excess returns are compared graphically for each contract. Nonparametric tests are then used to assess whether returns and volumes are symmetric about the mean concluding that daily returns and volumes are asymmetric. However, the results for monthly data are mixed. The Wilcoxon rank sum test suggests that although most contract returns appear asymmetric, soybean, cocoa, and 10 year US Treasury note returns are symmetric. Results for the monthly volume data are also mixed suggesting that the distributions may become more normal as the time period examined increases