Canegrati, Emanuele (2008): New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case.
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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|
|Original Title:||New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case|
|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
|Depositing User:||Emanuele Canegrati|
|Date Deposited:||15. Dec 2008 02:40|
|Last Modified:||21. Feb 2013 15:59|
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