29.03.2013 Views

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

Reg SHO Pilot Report 2/12/2007<br />

Panel B shows the results for thirty minute returns. Measured relative to control stocks,<br />

the pilot stocks experience no statistically significant increase in return correlation for any of the<br />

thirty minute intervals examined.<br />

In summary, returns in Listed Stocks are negatively serially correlated following both<br />

positive and negative returns over short horizons and removing price restrictions increases this<br />

negative correlation. The symmetry of these results is consistent with the volatility results<br />

above. We find no statistically significant impact for Nasdaq NM Stocks.<br />

E. Small and Low-Volume Stocks<br />

The analysis presented heretofore analyzes Listed Stocks and Nasdaq NM Stocks<br />

separately, but beyond this does not make any effort to ascertain whether the pilot may have a<br />

disproportionate or qualitatively different effect on smaller or less liquid stocks. In order to<br />

address these questions, we partition the sample into deciles according to market capitalization<br />

and turnover. As described above in section V-E, we partition the sample into deciles before<br />

separating them across markets, to ensure that Listed Stocks and Nasdaq NM Stocks in the same<br />

decile are comparable. The sample sizes resulting from these decile partitions are reported in<br />

Table 13. As the table indicates, the Listed Stocks are more concentrated in the higher deciles of<br />

market capitalization, while the opposite is true for Nasdaq NM Stocks. However, both Listed<br />

and Nasdaq NM Stocks have representation across all deciles of the two measures.<br />

Tables 14 through 26 present our results analyzing how many of the results presented<br />

earlier vary as a function of size and liquidity. As explained in section V-E, above, these tables<br />

are based on a regression analysis where each model includes a pilot indicator and a pilot<br />

indicator interacted with indicator variables for deciles one through nine. In this model, the<br />

Prepared by the Office of Economic Analysis 51

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!