n African Finance Journal - A comparative analysis of Aggregational Gaussianity across different market capitalisations for JSE-listed shares and indices

Volume 21 Number 2
  • ISSN : 1605-9786


A topic of recent interest is whether returns on the Johannesburg Stock Exchange (JSE) exhibit Aggregational Gaussianity (AG). Moreover, whether there exists a link between market capitalisation of shares and the AG of its returns. In this paper, we examine index and share returns from the JSE for evidence of AG with a particular focus on whether the results differ between (a) index and share samples and (b) shares and indices of different sizes as defined by market capitalisation. Various normality tests are combined with a quasi-random resampling procedure to obviate endpoint, overlapping and sample size biases. Our findings suggest that the assumption of AG, even at higher lags, needs to be made with caution. This is demonstrated by the varying test results as we moved from the index level to the individual share level.

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