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. Author manuscript; available in PMC: 2015 Jan 1.
Published in final edited form as: J Am Stat Assoc. 2014 Mar 19;109(505):275–287. doi: 10.1080/01621459.2013.844699

Table 1.

Normality test of the stock log-return data. This table illustrates the number of 452 stocks rejecting the null hypothesis of normality at the significance level 0.05.

Significance level Kolmogorov-Smirnov Shapiro-Wilk Lilliefors
0.05 428 449 449
0.05/452 269 448 426