Evgeny E. Koltyshev Doubts on Normality: Peculiarities of the Empirical Distribution of Russian companies

DOI: 10.38050/2078-3809-2025-17-4-123-135

Abstract

In the conditions of transformation of the Russian financial market against the background of growing uncertainty in global financial markets, the correct assessment of fair value and risk of financial instruments is of particular importance. A prerequisite for the relevance of these estimates is the use of correct assumptions about the characteristics of the empirical distribution of returns.

The study is devoted to identifying the peculiarities of the empirical distribution of Russian companies’ stock returns at the present stage on the basis of statistical analysis of the stock returns distribution parameters on different financial markets and econometric analysis of the determinants of the distance between the empirical distribution and the normal distribution. JB test, AD test and K-S test demonstrate that the assumption of the empirical distribution normality for Russian and foreign stock returns is incorrect. The model with random effects built on panel data shows the negative impact of inflation growth and military conflicts on the closeness of the stock returns’ empirical distribution to the normal distribution. In addition, the “normality” of the historical distribution of stock returns in the Russian market in 2014-2024, all other things being equal (including military conflicts adjustment), corresponded to that of other emerging markets and was higher than in developed markets.

Keywords: equity market, empirical distribution, returns, market risk.

JEL: G10, G12, G17.

For citation: Koltyshev, E.E. (2025) Doubts on Normality: Peculiarities of the Empirical Distribution of Russian companies. Scientific Research of Faculty of Economics. Electronic Journal, vol. 17, no. 4, pp. 123-135. DOI: 10.38050/2078-3809-2025-17-4-123-135.

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