This paper is a comparison the volatility of price between Dhaka stock exchange (DSE) and Chittagong Stock Exchange (CSE). I did this study on volatility as a part of academic course of Research Methodology and Dissertation. The main objective of this study is to determine whether the markets are same volatile or not. Volatility is the most basic statistical measure. It can be used to measure the market risk of a single instrument or entire portfolio of investment. Investors, regulators, brokers, dealers and the media have all express concern over the level of stock market volatility. After market crash of 1996, individuals as well as corporate investors along with the regulators have become conscious about the volatility and felt importance of information regarding market to take good investment decision. This paper also discussed about the preliminary concept of volatility. For analysis of data I have consider only year 2004. Standard deviation, coefficient of Variation, F-test and monthly return is calculated. All the result shows the same picture. CSE is more volatile than DSE. The CSE30 and DSE20 also show the same result. Interesting finding is that general price is less volatile than CSE30 and DSE20. It implies that the top 20 and 30 securities influence the whole market. If the price of these securities increases, the price index increases. Ups and downs of the price of these securities in CSE is higher than that of DSE. Although investors are suffering from lack of information about the quality of securities, they take investment decision considering the general price index of two markets. Some time it may mislead the investor the differences of indexes of two markets. As the base of these two indices is different they can consider the percentage change in indexes and standard deviation of the indexes. Though the calculation is based on only the index one individual investor can calculate the return from individual security and then can take the portfolio investment decision. In this study individual securities are not considered as it would take massive calculating and data collection operation. Despite of these limitations it can easily be told that Chittagong Stock Exchange is more volatile than Dhaka Stock Exchange.