The problem here is with the data provider Yahoo!. There has been intermittent problems with Yahoo! over the past few weeks with the DJI. The workaround is WolframAlphaWolframAlpha[]
as described in one of the answers above.
(from Searke's comment)
Yahoo! is no longer licensed to provide data downloads for the Dow Jones Index. Since Yahoo! is (one of) the data providers used by FinancialData[]
, FinancialData[]
is also affected by this restriction.