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 />

Table 5: Changes in Trading and Quoting Mechanics<br />

This table summarizes how trading and quoting mechanics change when the tick and bid tests are removed. The<br />

four months prior to the Pilot start date (May 2, 2005) are called the “Pre-Pilot” period and the six months following<br />

the start date are called the “Pilot” Period. The table shows the average change in the number of down ticks and the<br />

percent of time on a down bid for pilot and control stocks and estimates whether the pilot stocks changed more than<br />

the control stocks. Paired t-tests determine whether the changes are significant. Tests of the difference between the<br />

changes are two-sample t-tests. **, * indicates statistical significance at the 1 and 5% level in a two-tailed test. We<br />

test whether the difference in the change for Listed Stocks is statistically different from that of Nasdaq NM Stocks<br />

using a regression framework. During the Pilot Period, we run daily cross-sectional regressions of each variable on<br />

an indicator for Pilot Securities and the variable’s pre-Pilot level (equation 1). We run the regression separately for<br />

Listed and Nasdaq NM Stocks and test whether the coefficients on the Pilot indicator are similar. a, b indicates that<br />

the average coefficient for Nasdaq NM Stocks is statistically different from the average coefficient for Listed Stocks<br />

at the 1% and 5% level in a two-tailed test.<br />

Panel A: Univariate Changes<br />

Pilot Sample Control Sample Pilot Δ minus<br />

Variable Market Pre-Pilot Pilot Δ Pre-Pilot Pilot Δ Control Δ<br />

Downticks Listed 45.87 49.65 3.78** 45.84 45.01 -0.83** 4.61**<br />

Downticks Nasdaq 50.61 50.10 -0.52** 50.60 49.60 -1.01** 0.49**<br />

Downbids Listed 38.82 39.76 0.94** 38.74 39.50 0.76** 0.18<br />

Downbids Nasdaq 47.06 45.64 -1.42** 47.44 48.02 0.58** -2.00**<br />

Panel B: Average Regression Coefficients<br />

Market Quality = α + β Pilot + β Pre Pilot Market Quality<br />

i 1 i 2<br />

Variable Market Pilot PrePilotControl R-squared<br />

Downticks<br />

Downticks<br />

Listed<br />

Nasdaq<br />

4.64**<br />

0.49**<br />

0.46** 0.15<br />

a<br />

0.47** 0.02<br />

Downbids<br />

Downbids<br />

Listed<br />

Nasdaq<br />

0.24**<br />

-2.06**<br />

0.87** 0.27<br />

a<br />

0.84** 0.23<br />

Prepared by the Office of Economic Analysis 64<br />

i

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

Saved successfully!

Ooh no, something went wrong!