TESTING THE NORMALITY ASSUMPTION ON THE ROMANIAN CAPITAL MARKET FOR GENERATING A PROPER PORTFOLIO MANAGEMENT

Ana-Maria CALOMFIR (metescu)

Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, 2014, vol. 8, issue 1, 1099-1105

Abstract: The scientific literature, at international level, offers ample evidence that stock market is not normally distributed, this affecting classical statistical and econometric analysis in several decisive ways: correlation coefficients and the results of the t-statistic tests are giving misleading results, and, as a consequence, the case for a random walk in stock prices is seriously weakened. Testing the normality of distribution of returns on the Romanian capital market may offer important information regarding the applicability of the random walk model on the market. As a conclusion, if the market is not normally distributed, then the leptokurtosis phenomenon, attributed to a series of factors, deeply affects the classical statistical analysis, which will become useless for offering robust predictable models.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:rom:mancon:v:8:y:2014:i:1:p:1099-1105

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