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.
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Paper provided by EconWPA in its series Finance with number
9503002.
Length: Date of creation: 21 Mar 1995 Date of revision: Handle: RePEc:wpa:wuwpfi:9503002
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