The empirical distribution of stock returns: evidence from an emerging European market

There is now substantial evidence that daily equity returns are not normall y distributed, but instead display significant leptokurtosis and, in many c ases, skewness. Considerable effort has been made in order to capture these empirical characteristics using a range of statistical distributions. Howe ver, the evidence to date is confined entirely to the returns of developed stock markets, and in particular to the USA. In this paper, the daily retur ns of a large emerging European stock market, Turkey, are modelled. Two ver y flexible families of distributions that have recently been introduced are employed: the exponential generalized beta (EGB) and the skewed generalize d t (SGT). These distributions permit very diverse levels of skewness and k urtosis and, between them, nest most of the distribution previously conside red in the literature.