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New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case

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Author Info
Canegrati, Emanuele

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Abstract

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.

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File URL: http://mpra.ub.uni-muenchen.de/12166/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12166.

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Date of creation: 14 Dec 2008
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Handle: RePEc:pra:mprapa:12166

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Related research
Keywords: Kolmogorov - Smirnov; Shapiro - Wilk; Skewness - Kurtosis; Normality tests;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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