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


  • Eduardo Ley

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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.

Suggested Citation

  • Eduardo Ley, 1995. "On the Peculiar Distribution of the U.S. Stock Indeces' Digits," Finance 9503002, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:9503002
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    References listed on IDEAS

    1. Leamer, Edward E., 1983. "Model choice and specification analysis," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 5, pages 285-330 Elsevier.
    2. Koedijk, Kees G. & Stork, Philip A., 1994. "Should we care? psychological barriers in stock markets," Economics Letters, Elsevier, vol. 44(4), pages 427-432, April.
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    Cited by:

    1. Jesus R Gonzalez-Garcia & Gonzalo C Pastor Campos, 2009. "Benford’s Law and Macroeconomic Data Quality," IMF Working Papers 09/10, International Monetary Fund.

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    JEL classification:

    • G - Financial Economics


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