{"title":"华沙证券交易所指数收益的正态分布","authors":"Krzysztof Borowski","doi":"10.7172/1644-9584.74.1","DOIUrl":null,"url":null,"abstract":"The paper verified the hypothesis regarding a normal distribution of returns of Warsaw Stock Exchange indexes for the following time intervals: daily, weekly, monthly, quarterly and yearly. The analyzed rates of return were calculated in the following outlines: closing-closing, opening-opening, opening-closing and overnight. The verification of statistical hypotheses was conducted with the use of the following seven statistical tests: Kolmogorov-Smirnov, Lilliefors, Shapiro-Wilk, Chi-squared, Cramer von Mises, Watson, Anderson-Darling. The analyzed indexes were ranked due to the convergence of their return to the normal distribution with the use of the following tests: Jarque-Bera, Shapiro-Wilk and D’Agostino-Pearson.","PeriodicalId":42848,"journal":{"name":"Problemy Zarzadzania-Management Issues","volume":" ","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2018-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Normal Distribution of Returns of Warsaw Stock Exchange Indexes\",\"authors\":\"Krzysztof Borowski\",\"doi\":\"10.7172/1644-9584.74.1\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper verified the hypothesis regarding a normal distribution of returns of Warsaw Stock Exchange indexes for the following time intervals: daily, weekly, monthly, quarterly and yearly. The analyzed rates of return were calculated in the following outlines: closing-closing, opening-opening, opening-closing and overnight. The verification of statistical hypotheses was conducted with the use of the following seven statistical tests: Kolmogorov-Smirnov, Lilliefors, Shapiro-Wilk, Chi-squared, Cramer von Mises, Watson, Anderson-Darling. The analyzed indexes were ranked due to the convergence of their return to the normal distribution with the use of the following tests: Jarque-Bera, Shapiro-Wilk and D’Agostino-Pearson.\",\"PeriodicalId\":42848,\"journal\":{\"name\":\"Problemy Zarzadzania-Management Issues\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2018-08-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Problemy Zarzadzania-Management Issues\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.7172/1644-9584.74.1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"MANAGEMENT\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Problemy Zarzadzania-Management Issues","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.7172/1644-9584.74.1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MANAGEMENT","Score":null,"Total":0}
Normal Distribution of Returns of Warsaw Stock Exchange Indexes
The paper verified the hypothesis regarding a normal distribution of returns of Warsaw Stock Exchange indexes for the following time intervals: daily, weekly, monthly, quarterly and yearly. The analyzed rates of return were calculated in the following outlines: closing-closing, opening-opening, opening-closing and overnight. The verification of statistical hypotheses was conducted with the use of the following seven statistical tests: Kolmogorov-Smirnov, Lilliefors, Shapiro-Wilk, Chi-squared, Cramer von Mises, Watson, Anderson-Darling. The analyzed indexes were ranked due to the convergence of their return to the normal distribution with the use of the following tests: Jarque-Bera, Shapiro-Wilk and D’Agostino-Pearson.
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