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Statistical Analysis of the Dija Index in the Period 2009-2019

Author

Listed:
  • Emilia AnuÈ›a Corovei

    (“1st of December 1918†University of Alba Iulia)

Abstract

In this paper we analyzed the Dow Jones Industrial Average (DJIA) in the period 2009-2019. The Dow Jones Industrial Average (DJIA) is one of the most popular indexes; it indicates the value of 30 large, publicly owned companies from the United States. We used a lot of relevant statistic tests; we applied the ADF and PP tests both on the series of returns and on the series of the index analyzed. While the ADF test corrects the serial correlation by adding differentiated terms (lags), the PP test corrects the coefficient of the autoregressive process of the order. There are three versions of random walk: RW1, RW2 and RW3. In our paper we analyzed RW3 model for DIJA index. In the RW3 model, the errors are serially uncorrelated which allows movement dependencies.

Suggested Citation

  • Emilia AnuÈ›a Corovei, 2019. "Statistical Analysis of the Dija Index in the Period 2009-2019," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 695-701, December.
    • Handle: RePEc:ovi:oviste:v:xix:y:2019:i:2:p:695-701
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    References listed on IDEAS

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    1. George Soros, 1999. "The International Financial Crisis," Challenge, Taylor & Francis Journals, vol. 42(2), pages 58-76, March.
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    More about this item

    Keywords

    DIJA; statistical analysis; stationarity tests;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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