Canegrati, Emanuele (2008): New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case.
Download (1MB) | Preview
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 ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
|Depositing User:||Emanuele Canegrati|
|Date Deposited:||15. Dec 2008 02:40|
|Last Modified:||01. May 2015 00:16|
 D'Agostino, R. B. et al. (1990): A Suggestion for Using Powerful and Informative Tests of Normality, American Statistician, 44(4): 316-321
 Esch, L. et al. (2005): Asset and Risk Management - Risk Oriented Finance, John Wiley & Sons Ltd.
 J. P. Morgan (1996): RiskMetricsTM - Technical Document, 4th edition, Morgan Guaranty Trust Company
 Park, H. M. (2008): Univariate Analysis and Normality Test Using SAS, Stata, and SPSS, The Trustees of Indiana University, http://www.indiana.edu/statmath
 Shapiro, S. S. and Wilk, M. B. (1965): An Analysis of Variance Test for Normality (Complete Samples), Biometrika, 52(3/4): 591-611