The Distribution of Stock Market Returns: Tests of Normality

Michael D. Stokie
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Michael D. Stokie: Deakin University, Geelong. Comments and suggestions by R. Ball, R. Officer, P. Praetz and the referee are gratefully acknowledged. I am indebted to P. Brown for permission to use his data file on Industrial securities 1958–1973.

Australian Journal of Management, 1982, vol. 7, issue 2, 159-178

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.

Keywords: CLUSTERING EFFECT; NORMALITY; SECURITY RETURNS; STATIONARITY (search for similar items in EconPapers)
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:7:y:1982:i:2:p:159-178

DOI: 10.1177/031289628200700205

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