The Distribution of Stock Market Returns: Tests of Normality
- 1 December 1982
- journal article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 7 (2) , 159-178
- https://doi.org/10.1177/031289628200700205
Abstract
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.This publication has 7 references indexed in Scilit:
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