Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195296 
Year of Publication: 
2017
Citation: 
[Journal:] UTMS Journal of Economics [ISSN:] 1857-6982 [Volume:] 8 [Issue:] 2 [Publisher:] University of Tourism and Management [Place:] Skopje [Year:] 2017 [Pages:] 67-77
Publisher: 
University of Tourism and Management, Skopje
Abstract: 
The assumption that equity returns follow the normal distribution, most commonly made in financial economics theory and applications, is strongly rejected by empirical evidence presented in this paper. As it was found in many other studies, we confirm that stock returns follow a leptokurtic distribution and skewness, which in most of the Southeast European (SEE) markets is negative. This paper investigates further whether there is any distribution that may be considered an optimal fit for stock returns in the SEE region. Using daily, weekly and monthly data samples for a period of five years from ten Southeast European emerging countries, we applied the Anderson-Darling test of Goodness-of-fit. We strongly rejected the aforementioned assumption of normality for all considered data samples and found that the daily stock returns are best fitted by the Johnson SU distribution whereas for the weekly and monthly stock returns there was not one predominant, but many distributions that can be considered a best fit.
Subjects: 
Goodness-of-fit test
Anderson-Darling test
Johnson SU distribution
JEL: 
C10
C11
G10
Document Type: 
Article

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