Price/Volume Cross-Correlations in the DJIA by Frank Tarkany
This article examines the use of a Price Percent Filter (PPF) on daily Dow Jones Industrial Average
(DJIA) closing prices from January 2, 1897 to January 2, 1987. Price changes from the filter are
cross-correlated with their corresponding New York Stock Exchange (NYSE) total volume changes. The
correlation coefficient and chi-square statistics results from June 13, 1949 to January 2, 1987 indicate
good price/volume cross-correlations.
A Price Percent Filter selects dates when the percentageof price change from a previous peak or low
exceeds a threshold value. In this study a computer was used to find when a price change equals or
exceeds the PPF in the opposite direction of the preceding PPF change. The date, DJIA price, and NYSE
total volume were tabulated onto a computer file for subsequent analysis.