Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18

Abstract

The objective of this work is to present a set of analytical tools to characterize the nature of the distribution of monthly returns of the stocks that comprised the Merval index in the period 2002-2018, and at the same time compare the results with those of the US market, where the same analysis will be performed for most of the 30 equities that compose the Dow Jones Industrial Index. A set of univariate normality tests will be resorted to, which include the Jarque - Bera and D’Agostino K squared tests. The coefficients of skewness and kurtosis will be estimated to better gauge the distribution of returns. Afterwards, multivariate normality tests will be performed, particularly in concern with the third and fourth moments of equities’ return distributions, and a Generalized Method of Moments (GMM) based test will be used, allowing for contemporaneous correlation between securities and accounting for its effect on skewness and kurtosis.