Examining the Distributional Characteristics of Daily Returns of Nifty 50: Normality Assessment and Implications
Journal Title: International Journal of Current Science Research and Review - Year 2024, Vol 7, Issue 05
Abstract
This paper investigates the distributional characteristics of daily returns of the Nifty 50 index, a benchmark index comprising 50 large-cap stocks traded on the National Stock Exchange of India. Utilizing historical data spanning a specified time period, we conduct normality testing to assess the adequacy of the normal distribution assumption underlying many financial models. Our analysis provides insights into the departure from normality. As a result of departure from Normality, it may affect the tail behaviour, and volatility dynamics of Nifty 50 daily returns, offering implications for risk management, option pricing, portfolio management, and market efficiency. By synthesizing empirical findings with theoretical considerations, this research contributes to a deeper understanding of the statistical properties of Nifty 50 daily returns and informs practitioners in finance about the challenges associated with Modeling and analysing stock market data.
Authors and Affiliations
Sujata Suvarnapathaki,
Keywords
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- EP ID EP735200
- DOI 10.47191/ijcsrr/V7-i5-38
- Views 93
- Downloads 0
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