DOI: https://doi.org/10.59321/BAUETJ.V4I1.12
AUTHOR(S)
Iftakher Mahmud Ziad1,*, Anika Akhtar2
ABSTRACT
This paper tries to investigate the normality of stock returns in Bangladesh. To test the normality of daily and monthly log returns, Jarque-Bera test, Shapiro-Wilk test and Anderson-Darling test have been used on three indices of Dhaka Stock Exchange (DSE) – DSEX, DS30 and DSES along with a graphical (Q-Q Plot) presentation. The paper covers a sampling period from January 2013 to March 2023. Daily returns on all three indices have been found to be deviated from normality by all the three tests. Non-normality once again has been found in two indices (DS30 and DSES). Only, distribution of monthly returns of DSEX index has been approximately normal. The overall results have implication for stock market efficiency. This implies that when assessing risk, investors should not rely on the assumption of normality of stock returns. As per the results, the efficiency of stock market is questionable both in the short run and long run.