Acta academica karviniensia 2018, 18(4):40-51 | DOI: 10.25142/aak.2018.027

NORMALITY OF TURKISH STOCK RETURNS OVER TIME

Ezgi Gümüştekin¹, Güneş Topçu²

¹ TOBB University of Economics and Technology, Söğütözü Street, No. 22, 065 60 Ankara, Turkey

² Çanakkale Onsekiz Mart University, Faculty of Political Sciences, 171 00 Çanakkale, Turkey

This paper examines whether Borsa Istanbul (BIST) 100 index returns as well as individual stock returns are normally distributed and whether return distributions approach normal for longer return periods. Data include the daily aggregate market returns, i.e., BIST-100 index returns, and 9 firms' daily returns in 3 sectors, i.e. banking, automotive and holding. Data period is from 2004 to 2018Q1. Three types of normality tests, Shapiro-Wilk, Jarque-Bera and Kolmogorov-Smirnow were applied. The results showed that returns seemed to have leptokurtic distribution instead of normal distribution and as the return period increases, distribution of returns approached normal. This suggests that investors should not rely on the normality of returns assumption while evaluating risk for shorter return periods.

Keywords: Borsa İstanbul, distribution of returns, investments, normality over time

JEL classification: G10, G2, G32

Received: August 7, 2018; Revised: August 20, 2013; Accepted: November 21, 2018; Published: December 30, 2018  Show citation