Detecting outliers and treatments

First, a word of caution: one person's waste might be another person's treasure, and this is true for outliers. For example, for the week of 2/5/2018 to 2/15/2018, the Dow Jones Industrial Average (DJIA) suffers a huge loss. Cheng and Hum (2018) show that the index travels more than 22,000 points, as shown in the following table:

If we want to study the relationship between a stock and the DJIA index, the observations might be treated as outliers. However, when studying the topic related to the impact of the market on individual stocks, we should pay special attention to those observations. In other words, those observations should not be...