World War II events and the Dow Jones industrial index

Choudhry, Taufiq (2009) World War II events and the Dow Jones industrial index Journal of Banking and Finance, 34, (5), pp. 1022-1031. (doi:10.1016/j.jbankfin.2009.11.004).


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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

Item Type: Article
Digital Object Identifier (DOI): doi:10.1016/j.jbankfin.2009.11.004
ISSNs: 0378-4266 (print)
Keywords: WWII, events, structural breaks, allies, stock index, volatility
ePrint ID: 71242
Date :
Date Event
10 November 2009e-pub ahead of print
May 2010Published
Date Deposited: 28 Jan 2010
Last Modified: 18 Apr 2017 21:04
Further Information:Google Scholar

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