SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 12: Semi-Autoregression Results
This table reports average regression coefficients of returns on lagged positive and negative component returns, for
pilot and control stocks before and after the start of the pilot. 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
coefficients reported in the table are the mean coefficients across all stocks in the subsample, estimated over the
designated period, of the autoregressive model:
where Rt represents the stock return in period t, and
∑
−
− ∑
=
=
+
5
5
n Rt
n
n 1 n 1
= R α β R .
t
−
R t = min( 0,
Rt
)
n
+
t −n
+
R t = max( 0,
Rt
) .
Paired t-tests determine whether the changes are significant. Tests of the difference between the changes are twosample
t-tests. **, * indicates statistical significance at the 1 and 5% level in a two-tailed test.
Panel A: Five-minute Returns
Pilot Sample Control Sample Pilot Δ minus
Lag/Sign Market Pre-Pilot Pilot Δ Pre-PIlot Pilot Δ Control Δ
1 / Negative Listed -0.048 -0.071 -0.022** -0.048 -0.049 -0.001 -0.021**
2 / Negative Listed -0.019 -0.007 0.012** -0.015 -0.002 0.013** -0.001
3 / Negative Listed -0.004 -0.005 -0.001 -0.005 -0.003 0.002 -0.003
4 / Negative Listed -0.001 -0.010 -0.008** -0.001 -0.004 -0.003 -0.005*
5 / Negative Listed -0.005 -0.004 0.000 -0.003 0.000 0.003 -0.003
1 / Positive Listed -0.033 -0.056 -0.022** -0.034 -0.031 0.003 -0.026**
2 / Positive Listed -0.005 -0.013 -0.008** -0.004 -0.004 0.000 -0.008**
3 / Positive Listed -0.003 0.003 0.006** -0.002 0.007 0.009** -0.003
4 / Positive Listed -0.003 -0.004 -0.001 -0.001 -0.002 -0.001 0.000
5 / Positive Listed -0.004 -0.005 -0.001 -0.002 -0.002 0.000 -0.001
1 / Negative Nasdaq -0.027 -0.046 -0.019** -0.030 -0.042 -0.012** -0.007
2 / Negative Nasdaq -0.014 -0.007 0.007 -0.014 -0.006 0.009** -0.002
3 / Negative Nasdaq -0.004 -0.006 -0.002 -0.007 -0.006 0.001 -0.003
4 / Negative Nasdaq 0.000 -0.004 -0.004 0.001 -0.003 -0.004** 0.000
5 / Negative Nasdaq -0.002 -0.002 0.000 -0.004 -0.002 0.002 -0.003
1 / Positive Nasdaq -0.032 -0.030 0.002 -0.034 -0.024 0.009** -0.007
2 / Positive Nasdaq -0.011 -0.012 0.000 -0.011 -0.008 0.004 -0.004
3 / Positive Nasdaq -0.004 0.002 0.006* -0.004 0.004 0.008** -0.002
4 / Positive Nasdaq -0.002 -0.003 -0.001 -0.004 -0.001 0.004** -0.005
5 / Positive Nasdaq -0.008 -0.001 0.006** -0.006 0.000 0.007** -0.001
Prepared by the Office of Economic Analysis 72
DRAFT