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Empirical Distribution Of Stock Returns Of Southeast European Emerging Markets

Author

Listed:
  • Naumoski, Aleksandar

    (Ss. Cyril and Methodius University in Skopje, Faculty of Economics – Skopje)

  • Gaber, Stevan

    (Goce Delcev University of Stip, Faculty of Economics)

  • Gaber-Naumoska, Vasilka

    (Public Revenue Office of the Republic of Macedonia)

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.

Suggested Citation

  • Naumoski, Aleksandar & Gaber, Stevan & Gaber-Naumoska, Vasilka, 2017. "Empirical Distribution Of Stock Returns Of Southeast European Emerging Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 67-77.
    • Handle: RePEc:ris:utmsje:0199
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Goodness-of-fit test; Anderson-Darling test; Johnson SU distribution;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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