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World War II events and the Dow Jones industrial index

Choudhry, Taufiq (2010) World War II events and the Dow Jones industrial index Journal of Banking & Finance, 34, (5), pp. 1022-1031. (doi:10.1016/j.jbankfin.2009.11.004).

Record type: Article

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

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More information

e-pub ahead of print date: 10 November 2009
Published date: May 2010
Keywords: WWII, events, structural breaks, allies, stock index, volatility
Organisations: Management

Identifiers

Local EPrints ID: 71242
URI: http://eprints.soton.ac.uk/id/eprint/71242
ISSN: 0378-4266
PURE UUID: 19f382d0-c3e9-4d8e-9095-88973e22dac8

Catalogue record

Date deposited: 28 Jan 2010
Last modified: 19 Jul 2017 00:01

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