Testing the multivariate normality of Australian stock returns

Gray, Philip, Kalotay, Egon and McIvor, Julie (1998) Testing the multivariate normality of Australian stock returns. Australian Journal of Management, 23 2: 135-150.

Author Gray, Philip
Kalotay, Egon
McIvor, Julie
Title Testing the multivariate normality of Australian stock returns
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 0312-8962
1327-2020
Publication date 1998-12
Sub-type Article (original research)
Volume 23
Issue 2
Start page 135
End page 150
Total pages 16
Place of publication Sydney, N.S.W, Australia
Publisher Australian Graduate School of Management
Language eng
Subject 150201 Finance
Abstract The multivariate nonnality of stock returns is a crucial assumption in many tests of assets pricing models. While past Australian research has examined the univariate normality of returns, univariate test statistics Qre unreliable for testing multivariate normality since they ignore the contemporaneous correlation between asset returns. This paper utilises a multivariate test procedure, based on the generalised method of moments, to test whether residuals from market model regressions are multivaripte normal. The results suggest violations of the multivariate normality assumption which cast doubt over the validity over inferential procedures commonly used in the extant empirical literature.
Keyword Multivariate normality
GMM
Skewness
Kurtosis
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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