No Uptick, from Kim Zussman
Knock knock!
Who's there?
Uptick.
Uptick who?
No Uptickrule 7/6/07
Some have suggested recent volatility may be linked to repeal of the uptick rule as of 7/6/07. Certainly volatility has been high since then, as shown by F-test comparing variance of post no-uptick with the prior period (at least in terms of SPY: stdev of cls-cls returns 93-7/5/07 vs 7/6/07-present):
Test for Equal Variances: post, pre1
95% Bonferroni confidence intervals for standard deviations
. N Lower StDev Upper
post 203 0.011560 0.012853 0.014457 (post-7/6/07)
pre1 3635 0.010327 0.010599 0.010885 (prior)
F-Test (normal distribution)
Test statistic = 1.47, p-value = 0.000
Levene's Test (any continuous distribution)
Test statistic = 18.53, p-value = 0.000
But in comparing the post-no-uptick period of 204 days to the 17 other non-overlapping 204 day periods since 2004, the recent period is not that unusual (see attachment: 1=post uptick, with 95CI for variances), and it would be hard to argue much beyond partial causation.
