to a through, of the data series in percentage/100 terms. The eleventh column shows the Ljung-Box (1978) Q-statistic testing whether the first 20 autocorrelations of the return series as a whole are significantly different from zero. The twelfth column shows the heteroskedasticity adjusted Box-Pierce (1970) Q-statistic, as derived by Diebold (1986). The final column shows the Ljung-Box (1978) Q-statistic testing for autocorrelations in the squared returns.
All data series, except Bethlehem Steel, show in the full sample period a positive mean yearly return which is on average 11.5%. The return distributions are strongly leptokurtic and show signs of negative skewness, especially for the DJIA, Eastman Kodak and Procter & Gamble. The 34 separate stocks are riskier than the index, which is shown by the standard deviation of the returns. On average it is 1.9% for the 34 stocks, while it is 1% for the DJIA. Thus it is clear that firm specific risks are reduced by a diversified index. The Sharpe ratio is negative for 12 stocks, which means that these stocks were not able to beat a continuous risk free investment. Table 3.1 shows that the largest decline of the DJIA is equal to 36% and took place in the period August 26, 1987 until October 19, 1987 that covers the crash of 1987. October 19, 1987 showed the biggest one-day percentage loss in history of the DJIA and brought the index down by 22.61%. October 21, 1987 on its turn showed the largest one-day gain and brought the index up by 9.67%. However the largest decline of each of the 34 separate stocks is larger, on average 61%. For only five stocks (GoodYear Tire, HP, Home Depot, IBM, Wal-Mart) the largest decline started around August 1987. As can be seen in the table, the increasing oil prices during the seventies, caused initially by the oil embargo of the Arab oil exporting countries against countries supporting Israel in ``The Yom Kippur War'' in 1973, had the largest impact on stock prices. The doubling of oil prices led to a widespread recession and a general crisis of confidence. Bethlehem Steel did not perform very well during the entire 1973-2001 period and declined 97% during the largest part of its sample. AT&T declined 73% within two years: February 4, 1999 until December 28, 2000 which covers the so-called burst of the internet and telecommunications bubble.
If the summary statistics of the two subperiods in tables 3.3 and 3.4 are compared, then some substantial differences can be noticed. The mean yearly return of the DJIA is in the first subperiod 1973-1986 equal to 6.1%, while in the second subperiod 1987-2001 it is equal to 12.1%, almost twice as large. For almost all data series the standard deviation of the returns is higher in the second subperiod than in the first subperiod. The Sharpe ratio is negative for only 5 stocks in the subperiod 1987-2001, while it is negative for 22 stocks and the DJIA in the period 1973-1986, clearly indicating that buy-and-hold stock investments had a hard time in beating a risk free investment particularly