SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 19: Changes in Five-Minute Return Variances across Market Cap and Turnover
Deciles
This table shows the marginal effect of the Pilot derived from the coefficients from the following daily crosssectional
regressions:
9
Variance (5 minute returns) = α + β Pilot × Decile + β Pilot + β Pre Variance(5 minute returns)
i ∑
k = 1
k i ki 10 i 11
i
Reported is the average sum of β10 + βk multiplied by 10 6 . The dependent variable is the five-minute return variance.
The regressions are estimated on each day during the Pilot Period. The statistical significance of the coefficients is
determined by the distribution of the coefficients. We divide the stocks into deciles by market cap on May 2, 2005
and by the pre-Pilot turnover where decile 1 contains the smallest stocks and lowest turnover stocks. **,* indicates
that the effect is statistically different from zero at the 1 and 5% level in a two-tailed test.
Market Capitalization Turnover
Listed Nasdaq Listed Nasdaq
Decile
Lowest 11.123** 1.571** 2.130** 0.114
2 2.693** -0.393 -0.074 -0.350
3 1.840** -0.001 1.182 0.385
4 0.968** 0.964 0.158** 0.968*
5 0.652** -0.080 -0.253** 0.277
6 1.322 -0.460* 0.229** 0.095
7 -0.263** 0.052 0.151** 0.415*
8 -0.932** -0.133 1.484** 1.076
9 -0.789** -0.661** 0.427** -0.232
Highest -1.162** -0.802** 0.535** -0.182
PrePilotControl 0.253** 0.822** 0.283** 0.834**
Average R 2 0.156 0.173 0.111 0.173
Prepared by the Office of Economic Analysis 80
DRAFT