AGGREGATE NYSE VOLATILITY: 1928 - 1976 YEAR JAN FEB MAR APR MAY JUN JLY AUG SEP OCT NOV DEC **** ***** ***** ***** ***** ***** ***** ***** ***** ***** ***** ** *** 0.88 0.88 0.58 0.89 1.08 0.45 0.76 0.50 0.93 0.77 0.53 0.87 0.61 0.96 1.30 0.83 0.95. 0.84 1.17 0.47 0.52 0.70 0.95 0.32 0.75 0.67 0.82 0.65 1.15 0.38 0.84 1.07 0.69. 0.58 0.33 0.67 0.77 0.74 0.80 0.50 0.39 0.65 0.76 0.76 0.85 0.53 0.99 1.14 0.82 0.54 1.11 0.59 1.01 0.85 0.89 1.06 4.06 1.36 1.57 0.76 1.12 1.22, 0.77 0.90 0.52 0.59 0.66 1.56 0.78 0.67 1.07 0.76 0.85 1.76 2.21 0.91 1961 0.42 0.92 0.49 0.84 0.65 0.71 0.65 0.53 0.91 0.41 0.59 0.67 1962 0.93 0.44 0.49 1.34 2.00 2.12 0.91 0.81 1.02 0.99 1.29 0.69 0.55 0.70 0.54 0.54 0.51 0.37 0.68 0.45 0.75 0.41 1.15 0.42 0.35 0.30 0.34 0.43 0.51 0.63 0.42 0.42 0.28 0.44 0.45 0.64 0.23 0.65 0.31 0.37 0.80 1.39 0.56 0.35 0.62 0.38 0.40 0.42 0.75 0.57 1.56 0.65 0.95 1.44 0.96 1.16 1.15 0.75 1967 0.71 0.61 0.49 0.75 0.72 0.69 0.38 0.56 0.52 0.79 0.89 0.58 1968 0.58 1.17 0.92 0.70 0.72 0.67 0.94 0.43 0.70 0.37 0.51 1969 0.74 1.11 0.85 0.55 0.67 0.73 1.65 1.00 0.86 0.58 1.10 1970 0.94 1.03 0.69 0.70 2.55 1.23 0.87 0.95 1.03 0.56 1971 0.58 0.56 0.43 0.52 0.73 0.66 0.46 1.62 0.65 0.69 1.14 0.95 1972 0.59 0.46 0.59 0.63 0.76 0.56 0.89 0.76 0.36 1.05 0.76 0.74 1973 0.47 1.15 1.34 1.11 1.72 2.05 1.02, 0.99 1.01 0.81 1.92 3.16 1974 2.02 1.03 1.35 1.47 1.09 1.48 2.07 2.20 3.04 2.58 1.70 1.87 1975 1.84 1.36 1.65 1.65 1.62 1.62 1.62 0.82 0.97 1.64 1.44 1.25 0.70 1.12 1976 1.65 1.26 1.17 1.17 1.01 1.11 0.78 0.73 0.95 * BASED ON DAY-TO-DAY CHANGES IN THE STANDARD & POORS COMPOSITE 416 EXPLANATORY NOTE Aggregate NYSE Liquidity Aggregate liquidity refers to the responsiveness of stock price changes to transaction demand. The liquidity index is computed by comparing daily price changes for Standard and Poors Composite Index to the daily turnover of NYSE shares outstanding. For every trading day during the month the natural logarithm of the price relative is computed. Then the daily turnover rate is computed-the ratio of share volume to shares outstanding. Finally, the square of the log price relative is divided by the turnover rate, and this quantity averaged over the entire month. This average, recorded on an inverted logarithmic scale, is the monthly estimate of liquidity. A detailed description of the statistical model which yields these estimates of liquidity is available from Peter Martin of the Securities and Exchange Commission, Office of Economic Research in a staff paper entitled Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stocks. 418 MJS D DMJ S DMJ S DMJ S 1973 1972 OFFICE OF ECONOMIC RESEARCH: BRANCH OF MARKET TRADING ACTIVITY 1975 1974 1962 4.19 4.56 4.51 4.05 3.38 3.40 3.76 4.11 1963 4.30 4.44 4.49 4.64 1964 4.92 5.18 5.06 4.67 4.24 4.18 1971 4.57 4.64 4.98 4.59 4.59 4.29 1972 4.64 4.91 4.59 4.70 4.79 4.63 5.10 4.74 4.73 4.46 4.82 4.92 4.47 4.96 5.07 4.49 3.91 5.04 4.98 4.77 4.30 4.72 3.96 4.41 4.08 3.76 3.85 3.73 4.23 4.37 4.58 4.61 4.49 4.30 4.37 4.24 5.18 4.78 4.78 4.66 4.72 4.29 4.09 4.28 4.78 4.60 4.25 4.68 4.91 4.90 4.53 4.50 4.46 4.50 4.59 4.43 3.86 4.22 4.21 4.48 4.21 4.14 3.38 3.78 3.89 3.39 4.76 4.56 4.01 4.42 4.45 4.45 4.56 4.28 4.68 3.77 3.96 3.84 3.92 4.07 4.19 4.29 3.73 4.28 4.34 4.27 4.24 4.20 4.29 4.54 4.28 3.76 3.90 4.24 4.06 THE LIQUIDITY INDEX IS COMPUTED BY COMPARING DAILY PRICE CHANGES FOR STANDARD AND POORS 420 |