I'm asking for all securities traded like ETFs, but I'll exemplify with stocks. Ford is trading at around $4, GM $16, MSFT $142.
Suppose that the same horrific Systematic Risk besets each 3 stocks. NASDAQ and NYSE stocks must be priced at least$1 per share. Doubtless, GS and MSFT can afford to drop further, but F can't as it's almost $4 already!
After the Twice Edited Question
No. Stocks can always reverse-split in order to avoid the below $1 delisting rule of NYSE. (The $4 minimum is only for initial listing, not ongoing listing). Price is only one of the criteria for delisting. There are other criteria such as Market Cap.
As others pointed out, price is an arbitrary paramter in the Price x Shares = Market Cap relationship. The absolute value of Price cannot be used to predict the maximum downside.
After the Edited Question
The answer is: On Average, Stocks with lower price per share are more volatile, but price is not a good predictor.
Here is the plot of 4900 US stocks:
Before the Edited Question
No. Volatility is measured in standard deviation of percentage change or logarithmic return.
Furthermore, the effect of Systematic Risk on those 3 stocks depends of Multi-Factor Model Beta of each stock.
Perform Linear Regression of Stock Return = Alpha + Beta1 x Systematic Risk + Beta2 x Market Risk to get Beta1.
P.S. Some say that a stock of $0.01 could not drastically go any lower. The next day, the stock became $0.005.
No, price by itself actually tells us nothing about the risk of the underlying business.
Consider 2 companies: each owns a single factory that produces goods worth, say, $1M of profit in a year. Let's say that an income stream of $1M / year. Let's say that income stream is about as risky as the stock market in general, and let's assume the current cost of risk in the market is such that returns are ~10% per year. This means that to earn $1M per year, a 'fair' risk-adjusted value of the company would be $10M.
Now assume company A has 1,000,000 shares outstanding, and company B has 50,000 shares outstanding. Company A shares would be $10 each, and company B shares would be $200 shares each. A 10% drop in value could happen to each equally, because the underlying business is identical.
Note that Base64's great answer shows that actually, typically companies with lower prices are more volatile - and this has to do with social factors around what price company stock is often set at - typically "penny stocks" (trading for Under $1 per share) are new ventures that are not proven yet - but this is not really something necessarily true, just something that often happens due to expectations.
Are you aware of "Reverse Splits"? Ford can merge 10 shares into one, making each new stock worth approximately $40. It's perceived as a bad event, because it tells potential buyers that Ford itself doesn't expect a rebound above $4. But the alternative (delisting) is probably worse.
