Semi-moments based tests of normality and the evolution of stock returns towards normality
Desmoulins-Lebeault, François (2004-06), Semi-moments based tests of normality and the evolution of stock returns towards normality, AFFI 2004 (Association Française de Finance), 2004-12, Paris, France
TypeCommunication / Conférence
Titre du colloqueAFFI 2004 (Association Française de Finance)
Date du colloque2004-12
Ville du colloqueParis
Pays du colloqueFrance
MétadonnéesAfficher la notice complète
Résumé (EN)Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or ﬁnance, often to judge the distributional properties of a given sample, we propose a test of normality relying on such statistics. This test is proposed in three diﬀerent versions and an extensive study of their power against various alternatives is conducted in comparison with a number of powerful classical tests of normality. We ﬁnd that semi–moments based tests have high power against leptokurtic and asymmetric alternatives. This new test is then applied to stock returns, to study the evolution of their normality over diﬀerent horizons. They are found to converge at a “log-log” speed, as are moments and most semi–moments. Moreover, the distribution does not appear to converge to a real Gaussian.
Mots-clésStock returns; Volatility (finance); Gaussian
Affichage des éléments liés par titre et auteur.
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