Acta academica karviniensia 2018, 18(4):40-51 | DOI: 10.25142/aak.2018.027

Normální rozdělení výnosnosti tureckých akcií v čase

Ezgi Gümüştekin1, Güneş Topçu2
1 TOBB University of Economics and Technology, Söğütözü Street, No. 22, 065 60 Ankara, Turkey
2 Çanakkale Onsekiz Mart University, Faculty of Political Sciences, 171 00 Çanakkale, Turkey

This paper examines whether Borsa Istanbul (BIST) 100 index returns as well as individual stock returns are normally distributed and whether return distributions approach normal for longer return periods. Data include the daily aggregate market returns, i.e., BIST-100 index returns, and 9 firms' daily returns in 3 sectors, i.e. banking, automotive and holding. Data period is from 2004 to 2018Q1. Three types of normality tests, Shapiro-Wilk, Jarque-Bera and Kolmogorov-Smirnow were applied. The results showed that returns seemed to have leptokurtic distribution instead of normal distribution and as the return period increases, distribution of returns approached normal. This suggests that investors should not rely on the normality of returns assumption while evaluating risk for shorter return periods.

Klíčová slova: Borsa İstanbul, distribution of returns, investments, normality over time
JEL classification: G10, G2, G32

Vloženo: 7. srpen 2018; Revidováno: 20. srpen 2013; Přijato: 21. listopad 2018; Zveřejněno: 30. prosinec 2018Zobrazit citaci

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Gümüştekin E, Topçu G. Normální rozdělení výnosnosti tureckých akcií v čase. Acta academica karviniensia. 2018;18(4):40-51. doi: 10.25142/aak.2018.027.
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