An investigation into the return distributions of ordinary industrial shares on The Johannesburg Stock Exchange

AbstractThe research presented in this paper confirms the presence of asymmetry in the return distributions of a substantial number of shares quoted on The Johannesburg Stock Exchange.In an attempt to overcome the problems which the presence of skewness creates when, for instance, a risk measure such as standard deviation is used, the effect of different variables on skewness was determined. It was found that the normality of share returns can be improved significantly when calculating returns over intervals of 3 and 6 months and an horizon of five years.