World War II events and the Dow Jones industrial index

Taufiq Choudhry

Journal of Banking & Finance, 2010, vol. 34, issue 5, 1022-1031

Abstract: This paper investigates which events of World War II (WWII) the US investors (at that time) considered as turning points (structural breaks) of the war. The empirical study employs daily Dow Jones industrial average stock index and volatility from January 1939 to December 1945 and applies structural shift oriented test to determine endogenously the structural breaks during the WWII period. Results show that the majority of the wartime events (on and off the battlefield) labelled important by historians did result in structural breaks in both price movement and stock returns volatility (risk). These results have major implications for investors of the present and future.

Keywords: WWII; Events; Structural; breaks; Allies; Stock; index; Volatility (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (63)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:5:p:1022-1031

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