Anomalous behavior of the volatility of DJIA over the last century
| dc.contributor.author | Hamid, Shaikh A. | |
| dc.contributor.author | Dhakar, Tej S. | |
| dc.date.accessioned | 2011-01-24T20:40:41Z | |
| dc.date.available | 2011-01-24T20:40:41Z | |
| dc.date.issued | 2006 | |
| dc.description | Version of Record | |
| dc.description.abstract | This study explores month effects in terms of standard deviations of monthly and daily percentage changes of the Dow Jones Industrial Average. During the last century, the standard deviation of the monthly percentage changes of April (6.63%) is significantly higher than the standard deviations for the other months. The monthly standard deviations of daily percentage changes as a measure of volatility exhibit a slightly rising trend, peaking in October and are all significantly different from zero. The mean monthly standard deviation of daily percentage changes for October (1.08%) was the maximum and also significantly higher than the means of the other months. The DJIA became less volatile in terms of monthly as well as daily percentage changes during the second half of the last century compared to the first half. If we divide the data for the last century into decades, the thirties stand out as the most volatile period in terms of monthly as well as daily percentage changes. Based on both dimensions, the decades prior to 1940 experienced higher standard deviations compared to the subsequent decades. So it appeared that the stock market became more volatile in recent times – but that was in points, not in percentage terms. | en_US |
| dc.description.bibliographicCitation | Hamid, S. A. (2006). Anomalous behavior of the volatility of DJIA over the last century (Working Paper No. 2006-03). Southern New Hampshire University, Center for Financial Studies. | en_US |
| dc.digSpecs | PDF/A-1b | en_US |
| dc.format.extent | 1366728 bytes | en_US |
| dc.format.mediaType | application/pdf | en_US |
| dc.identifier.uri | https://hdl.handle.net/10474/1664 | |
| dc.language.iso | en_US | en_US |
| dc.publisher | Southern New Hampshire University | en_US |
| dc.relation.requires | Adobe Acrobat Reader | en_US |
| dc.rights | Authors retain all ownership rights. Further reproduction in violation of copyright is prohibited | en_US |
| dc.subject.other | stock market variance | |
| dc.subject.other | Dow Jones Industrial Average | |
| dc.subject.other | market fluctuations | |
| dc.subject.other | market volatility | |
| dc.subject.other | investment timing | |
| dc.title | Anomalous behavior of the volatility of DJIA over the last century | en_US |
| dc.title.alternative | Anomalous behavior of the volatility of Dow Jones Industrial Average over the last century | en_US |
| dc.type | Working Paper | en_US |
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