Financial report and comments for NASDAQ, DJIA, AND S&P500 index

The NASDAQ index, the index S&P 500 and the index Dow Jones Industrial Average (DJIA) are the three main American stock exchanges. The NASDAQ index is the second-largest stock exchange in the world after the New York Stock Exchange (NYSE). The index S&P 500 is based on the market capitalizations of 500 large companies having common stock listed on the NYSE or NASDAQ. The DJIA index is a price-weighted average of 30 significant stocks traded on the NYSE or NASDAQ.

In financial analysis, standard deviation (or variance) is a statistical measure of the volatility for a given security or market index. According to Sounderpandian (2008), “The standard deviation is often used as a measure of volatility and of the risk associated with financial variables.” In general, the higher the volatility, the riskier the index and vice-versa.

This report will analyze the historical data of the NASDAQ index for the year 2009 to investigate the variability of the index. Furthermore, this report will also compare the historical data of the NASDAQ index for the year 1999 and 2009. This report will also compare the historical data of the index S&P 500 and the DJIA index with the NASDAQ index for the year 2009. Lastly, this report will compare the DJIA index data for 1990, 2009 and 2012. Historical data for the indices will be taken from Yahoo Finance (Yahoo Finance, 2014).

Figure 1 shows the time plot of the monthly data of the NASDAQ index for the calendar year 2009. Overall, there is an increasing trend in the NASDAQ index values for the year 2009. However, in the month of February and October, there is a decrease in the index value. The standard deviation of the NASDAQ index for the year 2009 is about $287 and the range is $891 with minimum and maximum index values being $1,378 and $2,269, respectively. Although, this indicates that there was high uncertainty in the profitability of technological stocks, overall, technological stocks had made profit because of a continuous increasing trend in the NASDAQ index values for the calendar year 2009.

Figure 1: Monthly data of the NASDAQ Index for the year 2009

Figure 2 shows the time plot of the monthly data of the NASDAQ index for the calendar years 1999 and 2009.

Figure 2: Monthly data of the NASDAQ Index for the years 1999 and 2009

Overall, there is an increasing trend in the NASDAQ index values for the year 1999. However, for first three quarters, the index values are floating in-between $2,300 and $2,750. There were sharp increase in index values from October ($2,966) to December ($4,069). There appears that the year 1999 has been more volatile than the year 2009. The standard deviation of the NASDAQ index for the year 1999 is about $487 and the range is $1,781 with minimum and maximum index values being $2,288 and $4,069, respectively. The standard deviation of the NASDAQ index for the year 2009 is about $287 and the range is $891 with minimum and maximum index values being $1,378 and $2,269, respectively. This indicates that during the year 1999 the NASDAQ index was more volatile than in the year 2009. Thus, these numbers confirm our observations about the relative volatility of the two years.

Figure 3 shows the time plot of the monthly data of the NASDAQ index and the index S&P 500 for the calender year 2009.

Figure 3: Monthly data of the NASDAQ and S&P 5000 Index for the year 2009

Overall, there is an increasing trend in the index S&P 5000 values for the year 2009. However, in the month of February and October, there is a decrease in the index value. The monthly data movement of both the indices is the same. There appears that the NASDAQ index has been more volatile than the index S&P 500 for the calender year 2009. The standard deviation of the NASDAQ index for the year 2009 is about $287 and the range is $891 with minimum and maximum index values being $1,378 and $2,269, respectively. The standard deviation of the index S&P 500 for the year 2009 is about $123 and the range is $380 with minimum and maximum index values being $735 and $1,115, respectively. This indicates that during the year 2009 the NASDAQ index was more volatile than the index S&P 500. Thus, these numbers confirm our observations about the relative volatility of the two indices.

Figure 4 shows the time plot of the monthly data of the NASDAQ index and the index Dow Jones Industrial Average (DJIA) for the calender year 2009. Overall, there is an increasing trend in the DJIA index values for the year 2009. However, In the month of February, June and October, there is a decrease in the index value. The monthly data movement of both the indices is approximately the same. There appears that the DJIA index has been more volatile than the NASDAQ index for the calender year 2009.

Figure 4: Monthly data of the NASDAQ and DJIA Index for the year 2009

The median value of the NASDAQ index for the calendar year 2009 is about $1,907. About one quarter of the NASDAQ index values are below $1,670 and about one quarter are above $2,064. The standard deviation of the NASDAQ index for the year 2009 is about $287 and the range is $891. The NASDAQ index minimum and maximum values are $1,378 and $2,269, respectively.

The median value of the DJIA index for the calendar year 2009 is about $8,836. About one quarter of the DJIA index values are below $8,126 and about one quarter are above $9,712. The standard deviation of the DJIA index for the year 2009 is about $1,084 and the range is $3,365. The DJIA index minimum and maximum values are $7,063 and $10,428, respectively.

Figure 5 and 6 shows the boxplots of monthly data of the NASDAQ index and the DJIA index for the calendar year 2009. These graphs confirm our observations about the relative volatility of the two indices.

Figure 5: Boxplot of monthly data of the NASDAQ Index for the year 2009

Figure 6: Boxplot of monthly data of the DJIA index for the year 2009

Figure 7 shows the time plot of the monthly data of the DJIA index for the calendar years 1990, 2009 and 2012. There appears that the year 2009 has been more volatile than the year 1990 and 2012.

Figure 7: Monthly data of the DJIA Index for the years 1990, 2009 and 2012

The standard deviation of the DJIA index for the year 1990 is about $156 and the range is $463 with minimum and maximum index values being $2,442 and $2,905, respectively. The standard deviation of the DJIA index for the year 2009 is about $1,084 and the range is $3,365 with minimum and maximum index values being $7,063 and $10,428, respectively. The standard deviation of the DJIA index for the year 2012 is about $275 and the range is $1,043 with minimum and maximum index values being $12,394 and $13,437, respectively. This indicates that during the year 2009 the DJIA index was more volatile than in the year 1990 and 2012. Thus, these numbers confirm our observations about the relative volatility of the three years.

Figure 8 shows the comparison of the volatility (standard deviation) for the NASDAQ, S&P 500 and DJIA for the calendar year 2009.