This paper examines whether Borsa Istanbul (BIST) 100 index returns as well as individual stock returns are normally distributed and whether return distributions approach normal for longer return periods. Data include the daily aggregate market returns, i.e., BIST-100 index returns, and 9 firms' daily returns in 3 sectors, i.e. banking, automotive and holding. Data period is from 2004 to 2018Q1. Three types of normality tests, Shapiro-Wilk, Jarque-Bera and Kolmogorov-Smirnow were applied. The

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... sults showed that returns seemed to have leptokurtic distribution instead of normal distribution and as the return period increases, distribution of returns approached normal. This suggests that investors should not rely on the normality of returns assumption while evaluating risk for shorter return periods.