Factors that affect your credit score
Our investigation demonstrates that all of the examined bond indices exhibit negative skewness and excess kurtosis, both of which increase the probability of extreme negative returns. For all asset classes except for the most liquid sector, government bonds, significant autocorrelation is identified in monthly index returns. Therefore, sample estimators of standard deviation, skewness and kurtosis are biased. Hence, the results of common tests for normality of returns should be interpreted carefully. For reason of completeness the results of one test of normality are provided. The Jarque–Bera (1987) test for the normality of observations can only be rejected for the mortgage-backed securities and high-yield sector. However, it should be noted that the distribution of returns of single corporate bond issuers is highly skewed. But the broad diversification on the index level mitigates this effect.
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