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

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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Year of publication:	2008-12-14
Authors:	Canegrati, Emanuele
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Kolmogorov - Smirnov \| Shapiro - Wilk \| Skewness - Kurtosis \| Normality tests

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005616910