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On the Peculiar Distribution of the U.S. Stock Indeces' Digits

Eduardo Ley

Finance from University Library of Munich, Germany

Abstract: Recent research has focused on studying the patterns in the digits of closely followed stock market indeces (see, \eg, Ley and Varian (1994) and Koedijk and Stork (1994)). In this paper, we find that the series of one-day returns on the Dow-Jones Industrial Average Index (\djia) and the Standard and Poor's Index (\sp) reasonably agrees with Benford's law and, therefore, belongs to the family of {\it anomalous\/} or {\it outlaw\/} numbers.

JEL-codes: G (search for similar items in EconPapers)
Date: 1995-03-21
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