Analiza comparativă a normalității distribuțiilor randamentelor indicilor BET și S&P500 – Roxana Ioan

Currently, worldwide capital markets dispose of huge capitalizations, leading to extremely high investor exposure. At the same time, the turbulence currently occurring within the capital markets determines the existence of particularly high investment risks. Also, the high volatility of the periods characterized by economic instability determines pronounced asymmetries regarding the distributions of daily returns. The main methods of capital market risk estimation are based on the assumption of normality of daily returns distributions. But, in recent years, research has revealed that returns no longer display characteristics of normal distributions, being rather close to other families of distributions (asymmetric, exponential). The paper aims to test the normality of daily returns in the light of the latest developments within the capital market, currently dominated by unpredictable evolutions and a strong downward trend in the current economic context, caused by the Covid-19 pandemic. We also aim to build an indicator able to highlight those moments that are close to normality and efficiency, and afterwards, study whether or not the proposed indicator can be used as a predictor for extreme events.

This work was cofinanced from the European Social Fund through Operational Programme Human Capital 2014-2020, project number POCU/380/6/13/125015 ”Development of entrepreneurial skills for doctoral students and postdoctoral researchers in the field of economic sciences”.