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Taming Nasdaq Volatility

Traders Magazine, January 2005

Gregory Bresiger

Stocks become less volatile when they move from Nasdaq to the Big Board. This is according to a recent Securities and Exchange memorandum, which was authorized as part of the staff research for the Reg NMS proposal. "On average, stocks experience a significant decline in intraday volatility upon moving from Nasdaq to the NYSE. We find the same result regardless of whether we use five-minute return intervals to compute volatility, 60-minute intervals, or any other interval between five and 60 minutes," according to the SEC's Office of Economic Analysis (OEA).

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