* BASED ON DAY-TO-DAY CHANGES IN THE STANDARD & POORS COMPOSITE
INDEX. DAY-TO-DAY PERCENT CHANGES WITHIN EACH MOUTH ARE RANKED
FROM LOW TO HIGH AND THE FIRST AND THIRD QUARTILES ARE COMPUTED
AND DIFFERENCED. THIS RANGE, THE INTERQUARTILE, IS USED AS THE
MEASURE OF AGGREGATE MONTHLY PRICE VOLATILITY ON THE NYSE.

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.

OFFICE OF ECONOMIC RESEARCH: BRANCH OF MARKET TRADING ACTIVITY

9830-'QMPROG'