The Distribution of Stock Market Returns: Tests of Normality

The adequacy of the normal distribution as a representation for security returns is reconsidered. Findings of non-normality in earlier tests are attributed to a high incidence of zero returns and parameter non-stationarity. Monthly log-returns of leading Australian securities over five-year periods are compatible with the normal distribution.

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Year of publication:	1982
Authors:	Stokie, Michael D.
Published in:	Australian Journal of Management. - Australian School of Business. - Vol. 7.1982, 2, p. 159-178
Publisher:	Australian School of Business
Subject:	CLUSTERING EFFECT \| NORMALITY \| SECURITY RETURNS \| STATIONARITY

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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