SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 10: Skewness
This table summarizes how skewness changes when the tick and bid tests are removed. The four months prior to the
pilot start date (May 2, 2005) are called the “Pre-Pilot” period and the six months following the start date are called
the “Pilot” period. The table shows the average levels and changes in various skewness measures for pilot and
control stocks and estimates whether the pilot stocks changed more than the control stocks. Sample skewness is
computed for each stock in the pilot and contol sample in the Pre-Pilot and Pilot period, for five-minute, thirtyminute,
and one day return intervals. Paired t-tests determine whether the changes are significant. Tests of the
difference between the changes are two-sample t-tests. **, * indicates statistical significance at the 1% and 5% level
in a two-tailed test.
Pilot Sample Control Sample Pilot Δ minus
Variable Market Pre-Pilot Pilot Δ Pre-Pilot Pilot Δ Control Δ
Skewness—5m Listed 0.08 -0.05 -0.13 0.24 0.01 -0.23 0.10
Skewness—5m Nasdaq 0.28 0.51 0.23 0.19 0.39 0.20 0.03
Skewness—30m Listed 0.13 -0.02 -0.15 0.13 0.11 -0.02 -0.12
Skewness—30m Nasdaq 0.20 0.32 0.11 0.13 0.23 0.10 0.01
Skewness—day Listed 0.06 0.15 0.09 0.17 0.21 0.04 0.06
Skewness—day Nasdaq 0.26 0.35 0.09 0.16 0.29 0.13 0.05
Prepared by the Office of Economic Analysis 70
DRAFT