Hamid, Shaikh A.Dhakar, Tej S.2011-01-242011-01-242006https://hdl.handle.net/10474/1664Version of RecordThis 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.1366728 bytesen-USAuthors retain all ownership rights. Further reproduction in violation of copyright is prohibitedstock market varianceDow Jones Industrial Averagemarket fluctuationsmarket volatilityinvestment timingWorking Paperapplication/pdf