Resumen
While stylized facts of South African asset returns have been studied extensively, Aggregational Gaussianity has largely been overlooked. The aggregational aspect arises from the n-day log-return being the sum of n one-day log-returns and empirical asset returns tending to normality as the term increases. This fact is commonly corroborated graphically using overlapping return series depicted in Q-Q plots. Using a resampling-based statistical methodology to test for Aggregational Gaussianity while catering for overlapping data, an alternate picture emerges. Here the authors describe evidence from the South African market for a discernible absence of Aggregational Gaussianity and briefly discuss the implications thereof.