Intraday return skewness
factor.formula
Intraday return skewness (IntraDaySkewness, $ISkew_i$):
Intraday Realized Variance (RV_{ar_i}$):
in:
- :
is the logarithmic return of stock i in the jth time interval. The time interval is usually 1 minute or 5 minutes, representing the high-frequency price changes within the day.
- :
is the average logarithmic return of stock i in a specified time period (such as a whole day), calculated as $\overline{r_i} = \frac{1}{N}\sum_{j=1}^N r_{ij}$.
- :
The number of return observations used to calculate the intraday return skewness. For example, if 1-minute return data is used and the trading day is 240 minutes, N is usually 240. If it is a monthly stock selection, the data of the past 20 trading days are selected to calculate the intraday skewness separately, and then the 20 skewness values are averaged.
factor.explanation
The intraday return skewness describes the asymmetry of the return distribution of stocks within a day and reflects the morphological characteristics of intraday price fluctuations. A positive skewness means that the right tail of the return distribution is longer, that is, the possibility of large positive returns is higher; a negative skewness means that the left tail of the return distribution is longer, that is, the possibility of large negative returns is higher. This factor implies investors' expectations of the intraday trend of stocks and trading behavior patterns, and is an important indicator for capturing intraday microstructure characteristics. Empirical studies have shown that lower intraday return skewness usually indicates that stocks may have better performance in the future, and this negative correlation may be related to investor sentiment and risk premium.