Journal

Volume 75, #2

       “Economic Sciences: theory and practice” is scientific, refereed, biannual journal. The Journal of “Economic Sciences: theory and practice” has been founded by Azerbaijan State University of Economics in 1994.              
The Journal has been received to registration in the centre of international ISSN (International Standard Series Number, ISSN-2220-8739). Also, it has been included by the Supreme attestation Commission under the President of Azerbaijan Republic to the list of scientific publications on economic sciences.


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Anamolous Behavior of the Volatility of Nasdaq Composite Index: 1971 To 2017

Shaikh A. Hamid, Tej S. Dhakar


ABSTRACT

This study explores the seasonality in the volatility of the Nasdaq Composite index. The study seeks to uncover the anomalies in the behavior of Nasdaq Composite Index in terms of volatility. We define volatility as the mean of absolute daily percentage changes in Nasdaq Composite Index over each month. The Mean Absolute Percentage Change (MAPC) is preferred over the standard deviation of daily percentage changes during the month as a measure of volatility. The study spans the entire period that Nasdaq Composite Index has been in existence until the end of last year - from the inception in February 1971 to December 2017. The study identifies the months when the volatility is high and the months when Nasdaq Composite is the least volatile. The period of study is further split into three parts: 1971-1992, 1993-2002 and 2003-2017 to study how the volatility has changed over those three seminal periods since the inception of Nasdaq Composite Index. 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.

Keywords: Nasdaq Composite Index, NASDAQ Market, Anamolous Behavior, Volatility, Stock Markets.

JEL Classification: G15