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New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case
Emanuele Canegrati MPRA Paper from University Library of Munich, Germany
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.
Keywords: Kolmogorov - Smirnov; Shapiro - Wilk; Skewness - Kurtosis; Normality tests (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:12166
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