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

Author

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  • Krzysztof Borowski

    (Warsaw School of Economics)

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.

Suggested Citation

  • Krzysztof Borowski, 2018. "Normal Distribution of Returns of Warsaw Stock Exchange Indexes (Rozklad normalny stop zwrotu indeksow Gieldy Papierow Wartosciowych w Warszawie)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(74), pages 11-45.
    • Handle: RePEc:sgm:pzwzuw:v:16:i:74:y:2018:p:11-45
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    File URL: https://pz.wz.uw.edu.pl/resources/html/article/details?id=175893
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    More about this item

    Keywords

    normal distribution; return rates; stock indexes; ranking of equity indexes;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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