SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Panel B: Thirty-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 -0.030 -0.021 0.009 -0.020 -0.008 0.012** -0.003
2 / Negative Listed -0.004 -0.008 -0.004 -0.008 -0.010 -0.002 -0.002
3 / Negative Listed -0.003 0.018 0.021** -0.002 0.017 0.019** 0.001
4 / Negative Listed -0.001 -0.029 -0.029** -0.001 -0.024 -0.023** -0.006
5 / Negative Listed -0.010 -0.005 0.006 -0.010 0.000 0.010** -0.004
1 / Positive Listed 0.002 -0.022 -0.024** 0.007 -0.008 -0.015** -0.009
2 / Positive Listed 0.013 0.000 -0.013** 0.011 0.003 -0.008** -0.006
3 / Positive Listed 0.008 0.006 -0.002 0.012 0.012 0.000 -0.002
4 / Positive Listed -0.008 0.009 0.018** -0.005 0.004 0.009** 0.009*
5 / Positive Listed -0.008 0.002 0.010** -0.002 -0.001 0.001 0.008
1 / Negative Nasdaq -0.026 -0.019 0.007 -0.022 -0.018 0.003 0.004
2 / Negative Nasdaq -0.009 -0.015 -0.006 -0.010 -0.010 0.001 -0.007
3 / Negative Nasdaq 0.001 0.009 0.008 -0.001 0.008 0.009** -0.001
4 / Negative Nasdaq -0.010 -0.025 -0.015** -0.014 -0.021 -0.007* -0.008
5 / Negative Nasdaq -0.016 0.000 0.016** -0.014 -0.002 0.012** 0.004
1 / Positive Nasdaq -0.017 -0.001 0.016** -0.020 -0.005 0.015** 0.001
2 / Positive Nasdaq 0.006 -0.007 -0.014** 0.006 -0.004 -0.010** -0.004
3 / Positive Nasdaq 0.003 0.004 0.001 -0.002 0.006 0.008** -0.007
4 / Positive Nasdaq -0.017 0.004 0.021** -0.010 0.004 0.014** 0.007
5 / Positive Nasdaq -0.002 -0.005 -0.003 -0.006 -0.002 0.005 -0.007
Prepared by the Office of Economic Analysis 73
DRAFT