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

Emilia Anuța Corovei ()
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Emilia Anuța Corovei: “1st of December 1918†University of Alba Iulia

Ovidius University Annals, Economic Sciences Series, 2019, vol. XIX, issue 2, 695-701

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.

Keywords: DIJA; statistical analysis; stationarity tests (search for similar items in EconPapers)
JEL-codes: C23 F43 O47 (search for similar items in EconPapers)
Date: 2019
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