Modelling Non - Normality and Consistency of Returns Distribution of Major Industries in BSE

  • David Sam Jayakumar
  • Sulthan A
Keywords: Normal distribution, BSE, risk, returns, Data envelopment analysis

Abstract

In modern portfolio management and security analysis it is assumedthat return of an industry follows normal distribution but practicallyit is not so. ragmatically, this research made an attempt to studythe normality as well as non-normality of returns in industries listedin BSE. More over this study tries to establish a consistency indexfor returns based on risk return framework by using the dataenvelopment analysis. The results of the study gives an insightthat the each industry follows separate statistical distribution whichexplains that the nature of returns differs from one another andconsistency index gives an insight to the investors that there is anopportunity to achieve good returns due to the consistency in thereturns of Indian industries listed in BSE.

Published
2018-06-25