Explanatory Note Volatility of New York Stock Exchange Listed Stocks Stock price volatility refers to the extent to which stock prices change on a day-to-day basis. Aggregate monthly price volatility on the NYSE is reflected in a dispersion measure of day-to-day percent change in the Standard and Poors Composite Index; the S&P 500 was chosen because of its breadth and historical coverage enabling a review of volatility back to 1928. The day-to-day percent changes for any interval when ranked from low to high are divided into four "equal" groups by the First, Second and Third quartiles. The difference between the Third and First quartiles, a widely used measure of dispersion and always a positive number, is the interquartile range. The interquartile range which is the measure of volatility is not sensitive to the magnitude of monthly extremes but will indicate shifts in the frequency or relative number of large dayto-day changes. These attributes filter out the impact of short-term shocks and enable identification of months characterized by relatively high price volatility. A more detailed description of the statistical approaches used by the SEC staff in developing this measure of NYSE volatility is available from Raymond Marcotte of the SEC's Office of Economic Research in a staff paper entitled Analysis of the Impact of Competitive Commission Rates on Aggregate Price Volatility of NYSE Stock. 0.52 0.56 1973 0.47 1.15 1.34 1.11 1974 2.02 1.03 1.35 1.47 1975 1.84 1.36 1.65 1.62 1976 1.65 1.26 1.17 1.01 0.73 0.66 0.46 1.62 0.65 0.69 1.14 0.95 0.63 0.76 0.89 0.76 0.36 1.05 0.76 0.74 1.72 2.05 1.02 0.99 1.01 0.81 1.92 3.16 1.09 1.48 2.07 2.20 3.04 2.58 1.70 1.87 1.62 0.82 0.97 1.64 1.44 1.25 0.70 1.11 0.78 0.73 0.95 0.75 1.12 *BASED ON DAY-TO-DAY CHANGES IN THE STANDARD & POORS COMPOSITE |