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Shaikh A. Hamid, Tej S. Dhakar: Anamolous Behavior of the Volatility of Nasdaq
Composite Index: 1971 To 2017

V. SUMMARY AND CONCLUSION

We have explored if for the NASDAQ Composite Index the mean of absolute percent
changes of a month is significantly different from the mean percent changes of other
eleven months stacked, and if the variance of the monthly absolute percent changes
for a month was significantly different from the variance of the other eleven months
stacked. In other words, we explore if there was seasonality in terms of mean and
variance. If the NASDAQ stocks are fairly efficiently priced there should not be
seasonality in terms of mean or volatility. The mean of absolute percent changes of
every month for the entire data set and for each of the three sub-periods is significantly
greater than zero. For the entire data set there is no seasonality in terms of mean of
absolute percent changes: the mean of absolute changes was not different from the
mean of absolute changes of the other eleven months stacked. We find seasonality
with respect to volatility for four months. Seasonality in terms of mean is exhibited
only in the case of one month (June) in the first sub-period. Seasonality in terms of
volatility is exhibited in all three sub-periods, most pronounced in the first and third
sub-periods (seven months in each case) and exhibited by one month in the second
sub-period.

So it appears that the NASDAQ market has not become more volatile in recent times.
The market appears to be fairly efficient – though not highly. Also, seasonality
changes over time which is the characteristic of stock markets that are nonstationary.
Seasonality is not so pronounced in terms of mean of absolute changes but more so in
terms of volatility of the absolute changes, as a market consisting of tech-stocks and
smaller stocks should be. The findings and conclusions of the study will be of interest
to those who invest in the stock markets, those who study the behavior of the stock
markets, and to economics and finance professionals in general.

REFERENCES
Berument, Hakan and Halil Klymaz. (2001). The day of the week effect on stock
market volatility. Journal of Economics and Finance, Summer, Vol. 25 Issue 2, 181-
192.

Chien, Chin-Chen, Cheng-few Lee and Andrew M. L. Wang, 2002, A note on stock
market seasonality: The impact of stock price volatility on the application of dummy
variable regression model. The Quarterly Review of Economics and Finance, 42, 155-
162.

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