Munich Personal RePEc Archive

New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case

Canegrati, Emanuele (2008): New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case.

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Abstract

In this paper I test the normality of returns of the 30 components of the Dow Jones Industrial Average (DJIA) from January 1st 1990 to December 5th 2008. Results obtained by Kolmogorov - Smirnov, Shapiro - Wilk and Skewness - Kurtosis tests are robust in demonstrating that the hypothesis of normality can always be rejected.

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