Suppose we have the matrices $Z\in \mathbb{R}^{n\times n}$ and $X\in \mathbb{R}^{n\times d}$, such that each row $x_i\in\mathbb{R}^d$ is drawn i.i.d from a $N(0,\Sigma_{d\times d})$ distribution. What is the distribution of $ZX$?
Would it be,
\begin{equation} ZX\stackrel{?}{\sim} N\left(0,Z_{n\times n}\otimes \Sigma_{d\times d}\right) \end{equation}