View Complete Reference

Žgela, M (2011)

Application of Benford’s law in analysis of DAX percentage changes

Cybernetics and Information Technologies 11(4), pp. 53-70.

ISSN/ISBN: Not available at this time. DOI: Not available at this time.

Abstract: The application of Benford’s Law is very rarely covered in the field of stock market analysis, especially in percentage change of stock market indices. Deutscher Aktien IndeX (DAX) was chosen as an index of interest. As stated in [1], DAX measures the development of the 30 largest and best-performing companies on the German equities market and represents around 80% of the market capital authorized in Germany. DAX is a very important stock market index of Frankfurt Deutsche Börse which serves as underlying basis for a large number of financial instruments. It is calculated for 30 selected German blue chips stocks. In this paper Benford’s Law first digit test is applied on 10-years DAX daily percentage changes in order to check the compliance. Deviations of the 10-years DAX percentage changes set, as well as distortions of certain subsets from Benford’s Law distribution are detected. The possibility that the deviations are an outcome of speculations and psychological influence, should not be eliminated.

@article {, AUTHOR = {Žgela, Mario}, TITLE = {Application of Benford’s law in analysis of DAX percentage changes}, JOURNAL = {Cybernetics and Information Technologies}, YEAR = {2011}, VOLUME = {11}, NUMBER = {4}, PAGES = {53--70}, URL = {}, }

Reference Type: Journal Article

Subject Area(s): Accounting, Economics