Normal Distribution of Returns of Warsaw Stock Exchange Indexes (Rozklad normalny stop zwrotu indeksow Gieldy Papierow Wartosciowych w Warszawie)

Krzysztof Borowski ()
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Krzysztof Borowski: Warsaw School of Economics

Problemy Zarzadzania, 2018, vol. 16, issue 74, 11-45

Abstract: The paper verified the hypothesis regarding a normal distribution of returns of Warsaw Stock Exchange indexes for the following time intervals: daily, weekly, monthly, quarterly and yearly. The analyzed rates of return were calculated in the following outlines: closing-closing, opening-opening, opening-closing and overnight. The verification of statistical hypotheses was conducted with the use of the following seven statistical tests: Kolmogorov-Smirnov, Lilliefors, Shapiro-Wilk, Chi-squared, Cramer von Mises, Watson, Anderson-Darling. The analyzed indexes were ranked due to the convergence of their return to the normal distribution with the use of the following tests: Jarque-Bera, Shapiro-Wilk and D’Agostino-Pearson.

Keywords: normal distribution; return rates; stock indexes; ranking of equity indexes (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:16:i:74:y:2018:p:11-45

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