Gray, Philip; Kalotay, Egon; McIvor, Julie - In: Australian Journal of Management 23 (1998) 2, pp. 135-150
The multivariate normality of stock returns is a crucial assumption in many tests of assets pricing models. While past … Australian research has examined the univariate normality of returns, univariate test statistics are unreliable for testing … multivariate normality since they ignore the contemporaneous correlation between asset returns. This paper utilises a multivariate …