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A Comparative Analysis of Aggregational Gaussianity Across Different Market Capitalisations for JSE-listed Shares and Indices

Author

Listed:
  • Ryan Kruger
  • Chun-Sung Huang
  • Kanshukan Rajaratnam
  • Chun-Kai Huang

    (Curtin University)

Abstract

A topic of recent interest is whether returns on the Johannesburg Stock Exchange (JSE) exhibit Aggregational Gaussianity (AG). Moreover, whether there exists a link between market capitalisation of shares and the AG of its returns. In this paper, we examine index and share returns from the JSE for evidence of AG with a particular focus on whether the results differ between (a) index and share samples and (b) shares and indices of different sizes as defined by market capitalisation. Various normality tests are combined with a quasi-random resampling procedure to obviate endpoint, overlapping and sample size biases. Our findings suggest that the assumption of AG, even at higher lags, needs to be made with caution. This is demonstrated by the varying test results as we moved from the index level to the individual share level.

Suggested Citation

  • Ryan Kruger & Chun-Sung Huang & Kanshukan Rajaratnam & Chun-Kai Huang, 2019. "A Comparative Analysis of Aggregational Gaussianity Across Different Market Capitalisations for JSE-listed Shares and Indices," The African Finance Journal, Africagrowth Institute, vol. 21(2), pages 24-35.
    • Handle: RePEc:afj:journl:v:21:y:2019:i:2:p:24-35
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    More about this item

    Keywords

    Aggregational Gaussianity; Johannesburg Stock Exchange; Shapiro-Wilk; Anderson- Darling; Kolmogorov-Smirnov; quasi-random sampling;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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