We introduce a different way to measure time using event clocks, with which we can observe a normal distribution of intraday stock returns. Most finance studies employ a ‘default’ time measurement that uses a calendar clock. Cumulative evidence from prior literature shows that returns with a calendar clock follow a distribution with an excess kurtosis and a heavier tail, relative to a normal distribution. We examine the distribution of intraday stock returns using different clocks. We find that returns do not follow a normal distribution with a traditional calendar clock, but do follow a normal distribution when event clocks are applied.
CITATION STYLE
Ling, X. (2017). Normality of stock returns with event time clocks. Accounting and Finance, 57, 277–298. https://doi.org/10.1111/acfi.12150
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