The Dow Jones Averages are comprised of The Dow Jones Industrial Average (DJIA), The Dow Jones Transportation Average (DJTA) and The Dow Jones Utility Average (DJUA). Further information can be found on the WRDS website (see links below).
The Dow Jones data are available to NYU on the WRDS Web query site, with documentation of the variables. The WRDS cloud (wrds.wharton.upenn.edu) has sequential data, a SAS dataset, and a sample SAS program. The data are provided by Dow Jones Indexes. In addition, Dow Jones Factiva (formerly Dow Jones Interactive) is available on the NYU Virtual Business Library website (see link below).