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Article

Dow Jones U.S. Select Dividend Index:
Returns Analysis and Maximizing the
Coefficient of Determination

Manu Sharma and Rajnish Aggarwal
The Journal of Index Investing Spring 2012, 2 (4) 56-59; DOI: https://doi.org/10.3905/jii.2012.2.4.056
Manu Sharma
is an assistant professor at the University Institute of Applied Management Science at Panjab University in Chandigarh, India.
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  • For correspondence: manumba2000@yahoo.com
Rajnish Aggarwal
is a student at the University Institute of Applied Management Science at Panjab University in Chandigarh, India.
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  • For correspondence: aggarwalrajnish@gmail.com
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Abstract

The study examined the characteristics of the equity return series of Dow Jones U.S. Select Dividend Index, S&P 500 index, and NYSE composite index using the first four moments—mean (first moment), variance or standard deviation (second), skewness (third), and kurtosis (fourth)—from December 2001 to September 2011. Returns given by Dow Jones U.S. Select Dividend Index dwindled less than the market indexes in the last ten years, especially during 2008 when the U.S. was hit by a recession. The relationship between different market indexes, U.S. GDP, and LIBOR with Dow Jones U.S. Select Dividend Index was analyzed by calculating the coefficient of correlation. The regression analysis was performed to maximize the coefficient of determination. Results implied that both market indexes, U.S. GDP and LIBOR, when used together, better predicted the movements in the Dow Jones U.S. Select Dividend Index. It was also found that the Dow Jones U.S. Select Dividend Index is least correlated with U.S. GDP but highly correlated with LIBOR.

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The Journal of Index Investing: 2 (4)
The Journal of Index Investing
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Spring 2012
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Dow Jones U.S. Select Dividend Index:
Returns Analysis and Maximizing the
Coefficient of Determination
Manu Sharma, Rajnish Aggarwal
The Journal of Index Investing Feb 2012, 2 (4) 56-59; DOI: 10.3905/jii.2012.2.4.056

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Dow Jones U.S. Select Dividend Index:
Returns Analysis and Maximizing the
Coefficient of Determination
Manu Sharma, Rajnish Aggarwal
The Journal of Index Investing Feb 2012, 2 (4) 56-59; DOI: 10.3905/jii.2012.2.4.056
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