Page 8 - Azerbaijan State University of Economics

THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.75, # 2, 2018, pp. 4-16

Thus, the coefficient of variation, which is the ratio of standard deviation to the mean
was 69%, which is quite a large amount of variability in the Nasdaq Composite Index.

Table 1: Mean of Absolute Percentage Changes in NASDAQ Composite Index:
1971-2016

Count 562
Mean 0.81
Median 0.63
Minimum 0.23
Maximum 4.30
Range 4.07
Standard 0.56
Deviation
Coeff of Variation 69%
Skewness 2.51
p-value ( ) 0.000

The median of MAPC from Feb 1971 to December 2017 was 0.63%. Since the mean
of MAPC is larger than the median value, it indicates a right-skewed distribution as
we can also see in the histogram. The skewness equals 2.51. The skewness has been
caused by a few months of high volatility. Most of the observations otherwise are
quite normally distributed.

Figure 1: Mean of Absolute Percentage Changes of NASDAQ Composite Index:
1971-2016

100
80
Frequency 60

40

20
0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2 2.2 2.4 2.6 2.8 3 3.2 3.4 3.6 3.8 4 4.2 4.3
MAPC

8