DJTA


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AcronymDefinition
DJTADow Jones Transportation Average
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Trading Day Date Impulses Interval Begin End Begin End DJIA DJTA DJUA 36-56 1 5000 05/28/36 05/21/56 415 427 395 56-76 5001 10000 05/22/56 05/03/76 376 528 500 60-80 6001 11000 05/11/60 04/17/80 409 522 491 64-84 7001 12000 05/04/64 03/30/84 469 496 481 68-88 8001 13000 04/24/68 03/16/88 541 510 507 72-92 9001 14000 05/16/72 02/28/92 497 466 477 76-96 10001 15000 05/04/76 02/13/96 514 446 441 80-00 11001 16000 04/18/80 01/31/00 525 393 458 84-04 12001 17000 04/02/84 01/26/04 470 378 521 Table 2: Correlation coefficient values for the impulse response function of each interval correlated with the first interval 36-56 for each Dow Jones Average.
Examination of the population of roster changes for the DJIA and the DJTA provides an opportunity to test this attention hypothesis.
Except for the substitution of nine firms in the roster of the Dow Jones Rail Road Average in January of 1970, at which point the Average was renamed the Dow Jones Transportation Average, deletion from the rosters of both the DJIA and DJTA have generally been precipitated by corporate control events.
The 30 year sample period of the study contained 11 changes in the DJIA, 41 changes in the DJTA, and one change in a Dow Utility Average(4,5) The majority of the changes in the DJIA occurred in the 1980's while changes in the DJTA are more evenly distributed throughout the sample period.
CHANGES IN THE DOW JONES AVERAGES 1962-1991 DJIA DJTA 1964 1 1965 3 1967 1 1968 2 1969 2 1970 10 1971 2 1976 1 1 1979 2 1980 3 1982 1 4 1983 1 1984 1 1985 2 1 1986 2 1987 2 2 1988 2 1989 2 1991 3 1 11 41 Notes: Because four firms added to the DJTA were formed through merger or consolidation at the time they were added to the Average and publicly traded shares of Consolidated Rail Corp were issued immediately preceding the inclusion of this firm in 1987, tests for price and volume effects use a sample size of 36.
Tables 2 and 3 present results for additions to the DJIA and DJTA.