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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Kolmogorov - Smirnov, Shapiro - Wilk, Skewness - Kurtosis, Normality tests
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

References

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