Testing the multivariate normality of Australian stock returns

Philip Gray*, Egon Kalotay, Julie McIvor

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


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 test procedure, based on the generalised method of moments, to test whether residuals from market model regressions are multivariate normal. The results suggest violations of the multivariate normality assumption which cast doubt over the validity over inferential procedures commonly used in the extant empirical literature.

Original languageEnglish
Pages (from-to)135-150
Number of pages16
JournalAustralian Journal of Management
Issue number2
Publication statusPublished - 1998


  • GMM
  • Kurtosis
  • Multivariate Normality
  • Skewness


Dive into the research topics of 'Testing the multivariate normality of Australian stock returns'. Together they form a unique fingerprint.

Cite this