Hypothesis of Normality in the Context of the Market Model
Volume 12, Issue 4 (2001), pp. 491–500
Pub. online: 1 January 2001
Type: Research Article
Received
1 September 2001
1 September 2001
Published
1 January 2001
1 January 2001
Abstract
This paper discusses the normality assumption of the market model errors, conventionally accepted. Some other possible specifications are proposed and their performance is testing using a test statistic based on the empirical distribution function of the residuals of the model and assuming that the null distribution can depend on some unknown parameters. The parametric bootstrap method is used. Empirical evidence is provided using a sample of thirty companies of the Spanish Stock Market.