How do I determine if NKE is a component of the S&P, DOW or Nasdaq indexes and what effect an index has on a stock's price?
Is there a technical indicator that indicates if a stock is affected more by an index's volatility than another stock?
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I think you may be misunderstanding what an index is. An index is just a mathematical calculation based on the values of certain stocks. An index goes up when the stocks in the index go up, and down when they go down. An index is volatile when the stocks in it are volatile.
It is true that being included in an index can affect a stock - in the sense that it is bought by managers who want to track indexes, and being in an index gives it a perception of 'quality'. However those are secondary effects. Changes in the index don't affect the stock.
In general a stock is not affected by the behaviour of an index it is in. Instead the index is determined by the prices of the stocks that are in it.
(A stock may be bought or sold because a trader sees a change in an index and thinks the market is going up or down, but that is true of a stock that is not in the index as well.)
Everything is affected by everything
Being part of a stock index doesn't mean it's just that index and no other indexes which affect the price of a stock. Indexes affect each other as well, because the companies belonging to them are in competition of investors' money.
So, let's say the STOXX 600 index rises by 20% as measured in US dollars. Now the US stocks of S&P 500 are much better investments because you can get a particular amount of dividends for a stock price that hasn't increased yet. Guess what the investors do? They flock to S&P 500, because it's a better investment. The S&P 500 will increase by an amount for which the best estimate is 20% (although due to various random reasons, it won't increase exactly 20% but rather by an amount very close to 20%).
About the only location where you can say two indexes don't affect each other is a closed economy, where only locals can invest to the local indexes and locals are forbidden from investing to the global indexes.
You may be interested in beta (β)
In finance, beta is used as a measure for the characteristic of an individual stock when compared to the market portfolio. If the market portfolio rises by a relative amount X, the stock rises by a relative amount β * X. Similarly, if the market portfolio falls by a relative amount -Y, the stock falls by a relative amount -β * Y.
These are the explained stock price movements. Each stock price has also random movements that cannot be explained by movements in the market portfolio. In theory, there could also be deterministic risk-free return alpha (α), but in practice you cannot find α due to an efficient market.
Stocks with high β are high-risk high-return stocks. Stocks with low β are low-risk low-return stocks. So, the risk and return go hand in hand.
A quote from Investopedia:
By definition, the market has a beta of 1.0, and individual stocks are ranked according to how much they deviate from the market. A stock that swings more than the market over time has a beta above 1.0. If a stock moves less than the market, the stock's beta is less than 1.0.
To find out whether or not NKE is part of the Dow Jones Industrial Average, do a Google search for list of Dow stocks and check whether or not NKE is in that list. (It is.)
Likewise, to find out whether or not NKE is part of the S&P 500, do a Google search for list of S&P 500 stocks and check whether or not NKE is in that list. (It is.)
To find out whether or not NKE is part of the NASDAQ Composite, look up which exchange NKE is traded on and see whether or not it's NASDAQ. (It's not; NKE is traded on the NYSE.)
It's probably impossible to measure the effect that indexes have on NKE's stock price, because it's impossible to determine which changes in NKE are because of the indexes, and which changes are not. What you can do is look at the correlation between NKE's daily returns and the indexes' daily returns. To do that, create a CSV file with the daily returns and then use statistics software to calculate the correlation.