Özet:

The assumption that stock price changes have Normal distribution has become foundation of many of the main-stream models in financial literature. The validity of these models in financial theory depends critically on this assumption. Today it is well known empirical fact that the distribution of stock market returns are usually not normal but leptokurtic, i.e. the empirical distribution has fat tails and a high degree of peakedness as compared to the normal distribution. Thus, the usual statistical tools may be badly misleading from the point of financial decision making. The main concern of this study is to investigate whether the stock price changes of an emerging market (Istanbul Stock Exchange) have a Normal or Gaussian Distribution or can price changes be characterized by stable Paretian distribution. It has been concluded from the findings of this study that stock price changes do not fit to Normal or Gaussian distribution but can be characterized by stable Paretian distribution.

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