This paper provides an analysis of return distribution properties in the presence of non-normality of returns. Using secondary data, the study examines the behavior of returns in the emerging African Stock Exchanges, such as Botswana, Ghana, Mauritius, Nigeria and South Africa for the period 1998 to 2003. The statistical results show non-normality in the return series for African markets. Also, the findings show that mean returns from all the five emerging African markets are higher than the returns for the developed markets. Nearly all markets have positive excess kurtosis, which is consistent with the stylized fact of ‘fat tails’ in equity returns. Furthermore, while the return series of African markets follow a non-normal distribution, developed markets closely approximate the normal distribution.