• CHECKING THE NORMALITY ASSUMPTION OF STOCK RETURNS IN SELECTED ASIAN COUNTRIES

Abstract

The study endeavors to check whether the log of index stock returns follows the theoretical connotation of normal distribution in selected countries in Asia. The study briefly outlines various important properties of normal distribution. The normality assumption of stock return data of four Asian developing countries (India, Pakistan, Sri Lanka and China) is tested using the Shapiro-Wilk test. The study finds that all of the sample countries appear to fail the normality test.