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In the name of God

The effects of IT on Iran Stock Exchange Market:

(Trades Volume, Outcome Instability, Cash)

Mehrdad Madhoushi, PhD,


Business Management department,
Mazandaran University, IRAN

Email: madhoshi@umz.ac.ir
Tel: +98(112) 5232927
Fax: +98 (112) 5233580

Abstract: Since 1997, Iran stock exchange planed to use advanced IT-using internal
networks, internet and local networks etc. Could advanced IT affect on trade aspects
like trades volume, yield instability, cash on hand and efficiency of market? This paper
is going to elaborate effects of advanced IT on Iran Stock Exchange Market.
Investigation of daily data of 56 companies in stock exchange market related to 1997
and 1381 is evidence of that, advanced IT causes some rises in trades volume and cash
on hand. And little augmentation in output continuous correlation shows that market has
become more inefficient, but reduction in extension and increasing in bump indicate the
improvement in Iran stock exchange market information structure.
Keywords: Iran, stock exchange market, Trades Volume, Outcome instability, cash on
hand, IT

1. Introduction

Increase of consistency, stabilization and reinforcement of market and governmental


organization, also transformation in technology and inspecting environment, change the
competitive criterion in stock exchange industry. Consequently, stock organizations like
commercial firms going to adapt with new environment via IT, cost minimizing, and
revenue maximizing, changes in organizational structure and establish strategic
alliances, due to compete in augmentation of market share and etc. (Arnold and et
al.,1999)
Increasing the development of computer technology, lead to IT appearance beside of
expansion of telecommunication infrastructures. IT as one of the new human
technologies not only affected by deep transformations but also it is affecting on human
life patterns quickly and it is an important growth factor and a device of other sectors
too. The plans of other countries show that effects of IT are too deep and if we ignore it,
it would lead us to have no status in the future.
Changing approach of global business from concentration on industry to emphasis on
information and knowledge, made many challenges for different countries, particularly
for developing countries. Under this circumstance, investment in national economy to
reach micro-economical and macro-economical goals has an obvious role. Now, stock
exchange in advanced countries is the core of investment and every year conduct too
much wandering capital to active and generative units of society like production and
service units.
Recently, financial departments emphasize on applying IT and global trading.
Regarding of stock exchange role in structure improvement and economical
development, increasing the importance of IT prospective world and effective and
efficient usage of IT in stock exchange, may be progress and advantage key in future
stock market and realization of national goals. Therefore, this study investigated the
advanced IT application effects of Iran stock exchange on market characteristics like
trade volume, outcome instability, cash and market efficiency.

2. Importance of IT in Financial Markets

Financial institutions increasingly use technology to operation smoothing, commercial


and service activities, service development and improvement, risk reduction decreasing
the cost of deals. These institutions transfer and distribute the risk by using service
information networks facilities, more efficiently. (Damodaran1985, p427)
Network establishing has been developed by reaching one of the important IT goals:
quick and communal access to information resources. News transmission highways,
internet, is one of the most efficient and useful computer networks in the world that
many different activities can be performed in it and it has many facilities. According to
National Association In Capitalization (NAIC) comment, private investors rate the
internet in the first place as a source of information for investing, because people can
study annual reports of companies and analysis of analyst, adopt specifications stock,
goods and etc, and engaged in business operations by visiting different websites.
Using electronic networks to data, production, service and money exchanging between
people (consumers) and companies, companies with each others, peoples with each
others, citizens and governments, and at last companies and governments, is called
electronic financial services (Emami Aarandi, 1997). Reasons of applying electronic
financial services in financial markets are:
•Quick development of electronic exchanges- The portion of stocks that exchanged
by direct electronic exchange in industrial countries will reach 90% from 28% in 2007.
This quick development of electronic services is an evidence of importance of it.
•Intense change in financial structure and nature- Electronic financial services by
inputting external suppliers with internal suppliers causes cost reduction and
augmentation of competition in this sector (Hal Varian1998).
•Government role modification in financial sector- Government interference in
financial sector usually has not enough efficiency to State ownership of banks, to
prevent development of financial sector, and to increases the risk of financial crisis
appearance. This management method is always failed or leads to support special
group's benefits and finally results augmentation in financial supplying costs in
economy. Therefore, supervisory role of government becomes basic and coordinator
(Ranaani, 1997)
•Globalization of investment and stock exchanging process- IT causes capital
establishment and stock exchanging transferred to the international financial centers.
Result of these matters is intense augmentation of capital establishment and stock
exchanging contribution, especially in new markets. Normal level of capital
establishment for partnership in international markets increased from 5 billion dollar in
1990 to 30 billion dollar in 2000 (Broker 1991)

3. Background

Researchers in their studies investigate different aspects of relationships between


investment in IT and some variables like outcome and financial performance,
organizational structure, cost reduction and etc. The result of some of them will be
presented here:
Henry and Weber (2002) indicated that extensive investments in technology will
lead to proper trading and quick execution that consequently results less variability
in prices, more limited domain of supply-demand and remarkable augmentation in
number of exchanges.
They concluded about investment in IT and its application in Mendelson mechanism
of financial market's exchanges and others in 1989, that exchange mechanism is
effective on price behavior and totally, electronic mechanisms of exchanges, reduce
the variability of financial markets.
Toronto stock exchange before IT was not an important market, but after IT it
reached 3rd place of North America in dollar value. Main advantage of full electronic
exchange is not only reduction of exchange costs but reduction of problems also
related to human failures (William, Maurice & Pagano 1997).
New York stock exchange has been used IT for supporting its market share by
exchange improvement, efficiency enhancement, more labor productivity and
demand reduction of physical space (Henry, Wonseok , Simon & Weber 2002).
Since 1997, Iran stock exchange put the application of IT in its plans, which we can
refer to repair of exchange hall, supplying hardware requirements includes different
types of computers, printers, scanners, modems and etc., launching auto answer
telephone system of stock exchange in order to be informed of industry and other
companies of stock exchange, use of outstanding calculator software, EPS, stock
rate controlling, hanging a graphical table for clients' implementation. Some
instances of advanced IT application (include internet, intranet, extranet) in Iran
stock exchange during 2000 to 2001 are mobilization of administration system and
stock exchange secretariat by internal electronic network or administrative IT that
prevents information spreading in the organization and more healthiness of market
and speeds up administrative tasks in addition to time and paper savings. Electronic
newspaper establishment named "Payaame Bours" simultaneously presents latest
news of stock prices, supply-demand with stock exchange hall, and also has various
news and informative sections. Database and stock exchange integrated network
news establishing in order to communicative coverage with all accepted companies
and coverage of news transmission tasks in local exchanges halls from this way
foreign exchanges establishing and facility mobilization -includes essential hardware
and special software preparing, are some of the stock exchange attempts for
advanced IT application. Investors in these markets are facing more exchange
disadvantages, and the motivation for company information spreading will be
reduced (Amihud & Mendelson 1988).Potential IT can change both stock outcome
instability and trade volume. If IT spreads the stock demand-supply, price and
volume information quickly, it is highly probable that dealer's (investor) reaction to
information would have been shifted to prices, instantly. If prices fluctuate in stable
levels rapidly, instability may grow particularly when information has been input to
market.The IT effect index is the number of exchanges volume unit (VOL ) before
and after IT. Trade volume is caused by business cash, exchange fluctuation and
business information that all of them are affected by IT. Main aspects results in these
conditions are wide access and market efficiency improvement. More investors in
advanced exchanging systems will notice effects of information, otherwise;
fluctuation factors will be in much less cost than previous system (that limits the
accessibility to occurred orders information in market). Investor would invest better
on his/her information and consequently prices would reflect a big amount of
information with higher probability (Black 1986, Kyle 1985).Sato (1992; p8)
suggests that, cash will be reduced by IT because order flow are mostly the result of
human interactions in exchange hall. He says that instability is caused by
unexpected increasing and decreasing of prices and those exchangers use the
information of hall boards don't understand the reasons of these fluctuations.

4. Research Method
Main purpose of this research is the answer to this question: if resolving of information
flow capacity limitations have any basic effect on evolution of IT in stock markets or
not?
Of course beside of this objective, other goals are:
•Investigation of IT effects on information structure, spreading and publishing.
•Investigation of IT effects on stock prices approaching to their real values.
•Investigation of IT effects on performance indexes of stock exchange.
Total time of research is divided into three periods: before IT (1st of Farvardin to end of
Esfand in 1997) during IT (Farvardin 2000 to Esfand 2001) after IT (from Farvardin to
Esfand in 1381). In this paper we've tried to investigate effects of advanced IT on
exchange variables such as trade volume, outcome instability, cash and serial
correlation of outcomes. But because there is not enough confidence about these
variables - before and after IT- assessing to show the effects of IT (because it might be
possible that there were more variables affecting on trade volume, outcome and etc.),
we've tried to gather enough evidence about IT effects, by to control and stochastic
probability method of non-IT variables effects, for conclusion. Therefore, because of
relationship between trade volume, instability and cash with stock expected rate of
outcome, we've concentrated on them. Non-cash or low cash markets tend to instability
more.

4-1-Tested Variables
Considering that stocks of many of accepted companies in stock market are rarely
exchanging and the price of stock market is used as the initial data in this research ,
we've selected 56 companies that had maximum volume of exchange during 1997 to
1381 (see table 1). Daily data of 56 companies include final price, highest and lowest
daily price, volume of exchange units and its monetary value for each stock.

Table 1 – list of selected companies in Iran Stock Exchange Market


N Company Name N Company Name N Company Name
1 Absal 20 Dena Tire 39 Behshahr Co.
2 Pars Aluminum 21 Pars Co. 40 Bahonar Cooper
3 Iran Packing 22 Iran Lent 41 Sarma Afarin
4 Behpak 23 Iran Pipe & Machin 42 SASAN
5 Chini Iran 24 Margarin 43 Melli Bank Investment
6 Daru Pakhsh 25 Motogen 44 Sepanta
7 Jaber Drug 26 Behran Oil 45 Shahd Iran
8 Raazak Drug 27 Niroo Moharrake 46 Shoko Pars
9 Bahman Group 28 Paxan 47 Fars & Khoozestan Cement
10 Iran Khodro 29 Pars Pamchal 48 Kerman Cement
11 Iran Khodro Diesel 30 Pars Daroo 49 Tehran Cement
12 Iran Tire 31 Pars Minoo 50 Melat Investment
13 Alborz Cable 32 Arak Petrol 51 Iran Melli Investment
14 Kaf 33 Farabi Petrol 52 Petrol Investment
15 Iran Carbon 34 Abadan Petrol 53 Ghadir Investment
16 Payam Co. 35 Naab Oil 54 Rana Investment
17 Kimiadaroo 36 Saipa 55 Behshahr Industrial
Development
18 Pak Dairy 37 Alborz Investment
19 Lamiran 38 Ama Co.

The research variables have defined as following:


- VOL jt : Daily exchange volume, number of exchanged stock j in day t divided
into 100

- TURN jt : Monetary value of j in day t that is shown million rails

- STDEV jt : Instability of daily outcome j in day t that measured by standard


deviation estimating. Most of exchanges prefer that their business would not influence
on prices and they could order without any wide fluctuations price. The standard
deviation of j in day t is measured by this estimation (Parkinson 1980):
H jt − L jt
STDEV jt =
0.5( H jt + L jt )
- LR j : Cash related to jth stock as the quick selling force one good with same
price assuming no new information providing in market (Fouse 1976). This variable is
measured by this estimator:
TURN jt
LR =
STDEV jt

We've calculated the data arithmetical mean for each stock. The means are specified by
A and B prefixes indicating after and before IT. For example BVOL j is the value VOL jt
before using IT for stock j . Those parts of analyze that the logarithmic ratios used in
them – like LBSTDEV jt i.e. outcome standard deviation logarithm of stock j before IT
– can be distinguished by L prefix.

5-Research Findings
5-1-Changes in Variables
Table 2 shows the initial and final price, daily exchange volume average and rial
volume average, before and after IT. Even though, all off them are in the most active
companies list but they are showing wide variation of market characteristics in all of
companies.
The price variation domain at the beginning of the period before IT is 1021-23000 and
at the end of the period after IT is 10000-50011. 35 stocks had increased and 21 stocks
had decreased in price during the whole period. Outcome mean (when outcome is
defined as relative logarithm of final price to initial price) is 0.185 with 0.864 as
standard deviation. Sample distribution of these outcomes is normally distributed
without any abnormal skewness or bump. Exchanged volume average before IT is
varying from 2.1 to 488.6000 of stocks and after IT is varying between 2.6 and
1317.9000 of daily stocks.
On the basis of exist evidences of other markets, when the prices are ascending, the
higher volumes are happened (Karpoff 1987). While IT is performing, bullishness is a
potential deviational effect in comparison with exchanging volume before and after IT.
Table 2 – The initial and find price, daily exchange and rial volume average, before & after IT
Starting Ending Before After Befor Before After Before After
N After turnover
price price volume volume turnover STDEV STDEV LR LR
1 1301 2280 21.229 35.778 36.43 77.98 0.00896 0.00927 4064.602 8414.521
2 4930 5350 75.077 2.661 1034.53 25.06 0.00825 0.00473 125342.276 5298.852
3 2405 1392 10.316 24.418 27.76 52.28 0.00590 0.01195 4704.887 4376.225
4 3357 3100 5.635222 5.452 23.56 22.38 0.00496 0.00523 4744.779 4282.667
5 4371 11576 15.469 31.39 87.90 482.79 0.00216 0.00853 40609.144 56567.132
6 6215 15222 4.72 214.245 24.33 2992.26 0.00289 0.00568 8407.022 526465.416
7 5576 10250 25.24773 48.473 210.00 538.14 0.02600 0.01345 8077.986 40010.244
8 5909 17890 2.121 16.60988 16.53 267.08 0.00225 0.00684 7340.625 39040.612
9 2500 2353 45.053 289.333 129.54 757.34 0.02594 0.01844 4993.561 41070.003
10 4930 2290 304.356 1084.789 1331.39 3280.64 0.05632 0.01500 23640.597 218720.311
11 4896 2338 8.137 280.086 40.07 669.80 0.01613 0.01919 2484.420 34904.932
12 2152 1818 11.563 78.722 42.12 210.27 0.01336 0.02023 3152.152 10392.080
13 6005 10697 2.79 72.536 22.92 1033.85 0.00339 0.00789 6766.295 130998.251
14 6120 2302 26.009 37.947 174.26 121.61 0.00931 0.01500 18709.982 8109.491
15 2100 14140 62.504 48.02252 245.07 867.93 0.01656 0.01450 14802.895 59875.662
16 4319 1199 22.585 19.60868 77.94 26.84 0.01051 0.01099 7412.853 2442.776
17 4499 6700 8.257 11.744 41.83 106.47 0.01505 0.01414 2778.392 7527.742
18 5531 7327 10.24745 53.476 66.02 330.05 0.00438 0.00839 15087.273 39349.381
19 6103 5730 8.189 13.742 86.53 88.43 0.01461 0.00645 5923.560 13701.713
20 3001 8850 196.988 67.744 819.53 776.86 0.03658 0.01558 22401.587 49866.723
21 6250 3500 89.884 5.343 444.26 17.42 0.00309 0.00164 143829.322 10624.168
22 3271 4300 7.057 12.02 34.58 112.26 0.00715 0.00352 4838.666 31882.184
23 3850 4488 21.876 18.394 74.56 81.81 0.01881 0.00750 3963.874 10902.867
24 3989 3310 23.065 130.878 89.54 401.88 0.01305 0.01454 6862.104 27647.405
25 5300 5145 48.628 100.308 428.53 527.18 0.03058 0.01372 14011.780 38414.195
26 18850 50011 19.308 52.599 518.45 2956.00 0.00153 0.01418 339551.413 208519.021
27 1098 1770 274.002 77.617 438.76 176.06 0.01284 0.01188 34172.256 14820.157
28 2901 5039 13.208 20.899 50.54 103.31 0.00660 0.00581 7657.881 17778.453
First, the exchange volume behavior is investigated before and after IT. Because of the
different stock of volume variation, the volume ratio logarithm is calculated for each
stock ( Ta is the number of days after IT, Tb is the number of days before IT):

LVOL j = log( AVOL j BVOL j )


1 Ta
AVOL j = ∑VOL jt
Ta t =1
1 Tb
BVOL j = ∑VOL jt
Tb t =1

LVOL j 's mean for 56 stocks is 0.914 with 1.379 as standard deviation, shoes that
there's many basic increases of volume and variation in the number of exchanges
volume of companies. Notwithstanding, taking the logarithm of LVOL j sample
distribution is not normal. Both the parametric and non-parametric tests deny the null
hypothesis that means no change has been happened in exchange volume through the
period time.
t Value was calculated 3.31 using LBVOL j and LAVOL j distribution (logarithm of
trades volume mean before and after using IT) in 95% confidence level. Therefore, one
of the findings of this research is that: The IT is accompanied by basic increases of
exchange volume for exchanged stocks in market.
Complementary question is a condition that the exchange volume increasing has been
speed up along the company. Because of answering to this question that if the initial
exchange volume leans to increase or not, LAVOL has been tested against LBVOL in
a regression equation (table 3).

Table 3 – Regression between LAVOL against LBVOL

( A) LAVOL j =α + βLBVOL j +ε j
α β R2 S (ε )
2.270 0.574 0.30 1.263
(0.415) (0.119)

The modified R 2 in this regression was equaled to 0.3 showing that exchange volume
before IT has not a considerable effect on exchange volume after IT. Following model
has been approximately proposed for solving the exchange volume equation after IT:
AVOL j = e 2.270 BVOL j
There are considerable increases in exchange volume of most of companies aside from
initial exchange volume. The estimated value by our rough factor is 9.68.
In continuation, the instability behavior is investigated. The daily trade domain criterion
is compared with daily price mean. Table 2 shows the data concerning daily exchange
instability for each stock. Sequentially STDEV j Mean before and after IT are 0.0103
and 0.0118 with 0.0047 and 0.0098 as standard deviation.
The calculated value of t (-1.04) for BSTDEV j and ASTDEV j distribution accepts null
hypothesis that says there is no change in instability before and after IT.
About investigation of cash, 40 stocks had increase in cash, and increases mean is 20%
after IT. Cash in different for each stock so we have used cash ratio logarithm. t = 3.39
Denies the null hypothesis saying there is no cash change in the period.
Similar to exchange volume, the complementary question is, if the cash aside of cash
before IT leans to increasing or not? In order to answer to this question by using
regression equation, LALR j was tested against LBLR j (4).

Table 4 - Regression between LAVOL against LBVOL

( B ) LALR j = α + βLBLR j + ε j
α β R2 S(ε )
6.836 0.380 0.154 1.304
(1.162) (0.121)

Modified R 2 of this regression is 0.514 showing the cash before IT, had a little effect
on cash after IT. According to achieved model, two stocks with 2000 and 5000 cash
before IT shows 16000 and 23000 unit increase.
Therefore we can say there is intense increasing lean to stock with less limited cash in
comparison with stocks that have higher initial cash.

5.2. Results Review


Exchange volume has direct relation with price and the exchange market meets the
increasing price while IT performing. Therefore the final relation between IT and
volume increasing is disputable. In order to finding evidence, we've tested the relation
between exchange volume changes, accompanied output and cash. It was started by
regression between volume ratios on LVOL j against output rate (table 5).

Table 4 – Regression between exchange volume ration against output rate

( A) LVOL j =α +βRET j +εj


α β R2 S ( ε)
0.877 0.195 0.015 1.394
(0.190) (0.216)
In this regression the R 2 = 0.015 showing no linear relation between exchange volume
and output and in this regression t = 0.906 accept the null hypothesis that 95%
confidence level based upon β is not significant.
Cash and instability usually cause higher exchange volume and it's another modification
for increasing exchange volume (Rozeff 1993, Schewert 1989). A portion of remarked
exchange volume can be result of exchange cash increasing, because instability had not
any significant change in comparison with previous, in IT aspect. Hence we tested the
relation between cash and exchange volume (table 6).

Table 5 – Regression between cash & exchange volume

( B ) LVOL j = α + βLLR j +ε j
α β R2 S(ε )
0.325 0.648 0.55 0.943
(0.145) (0.080)

Cash shows 55% of sample data changes on volume ratios. If there is no cash, the
intercept of this regression (0.325) with 0.224t will calculate the volume ratio
logarithm. Even if the outcomes would be zero and cash would be fixed, e 0.325 = 0.39
indicates the 39% increase in exchange volume. This evidence denotes that the IT has
caused 39% basic and important increases in exchange volume.
A same analysis can be performed about cash. In order to control the probable effect of
output on cash, we can only do the logarithm equation for cash ratio, because instability
has not been changed (table 7).

Table 7 – Regression between output and cash

(C ) LLR j = α + βRET j + ε j
α β R2 S (ε )
0.751 0.851 0.217 1.422
(0.194) (0.220)

In this case, 22% change in logarithm describes the cash ratio. The comparison
between intercept of this regression and previous intercept (result of cash regression
before and after IT) shows a reduction. In other hand, a portion of observed cash
increase has caused higher outcome. According to our estimated model, since there's no
output, e 0.751 = 1.12 so by fixing other IT factors we can conclude that it has caused
basic increasing of cash about 100%.

5.3. Output Distributions


In this section, we will assess the IT effect on output distribution and hypothesis test of
stochastic tour using the successive correlation. While system modernization, there are
only few official researches about forecasting the changes in output distributions.
If IT develops the market, increases the exchanges and cash facilitate the information
publishing and etc, it seems to be reasonable that we expect that not only stock might be
exchanged more regularly in business days but the number of business days also might
be increased. The second column in table 8 indicates the percent of no-business days
before and after IT. IT causes an increase in exchange quantity for 18 stocks; therefore
our observations strongly indicate decrease in number of no-business days for 56
stocks.
Fadayinejad (1373) and Sadeghi (1374) have concluded in different studies that Iran
stock exchange has low level efficiency. Abdeh Tabrizi and Johari (1375) also have
concluded in their research that stock exchange indexes are inefficient.
Serial correlation between outcomes is an important and under consideration statistics
to scientists, for testing the stock market efficiency. rt Is the serial correlation
coefficient with k , as the time lag and it is calculated by this equation (so that; xt is the
price logarithm change in tome t and xt + k is the price logarithm change in t + k ):
Cov ( xt , xt + k )
rt =
(δ 2 xt )

If the outcome distributions have been fixed and formed from distributions
stochastically, therefore serial correlations would be zero. Because of some factors-such
as; little business, altruism in market or price bulbs, demand-supply price gaps, the
serial correlations are estimated non-zero (Cohen et al.1980).
Daily outcomes are calculated as final prices price ratios. 3rd. column in table 8 shows
the serial correlation of 56 stocks. Absolute value means of serial correlation before and
after IT are 0.122 and 0.153, sequentially. Serial correlation had reduction for 19 stocks
and increment for 37 stocks. 22 stocks had been negative in serial correlation before IT
that the number raised to 11 stocks after IT. The pattern shows that the negative
correlation has been estimated, this status is not casual and it is consist with lack of
insufficient reaction of stock prices to information or other exchange pressures in a day.
Generally, serial correlation data persuades us that outcomes series estimate the
stochastic seeking theory by less accuracy after IT in comparison with before IT.
Damodaran (1985) argue that information structure development influence on bump of
outcome distribution (information structure relates to time sequence of creation and
information publishing). Damo says that structure of information creation has no effect
on skewness unless it collaborates on delay of bad news reporting that it causes the
kurtosis leans to negative value in this theory. 4th and 5th columns of table 8 indicate the
skewness and bump of outcome distribution, sequentially. Average of bumps is 65.7 and
49.9 before and after IT. The bump had raise for 19 stocks and for others has been
reduced. From total 56 stocks before IT, 3 stocks had bump less than 4 that this number
reached 10 after IT. Other wise 37 stocks rise in skewness value. According to normal
distribution (in ± 0.5 domain) only 2 stocks had skewness before IT and 10 stocks have
such situation after IT. Therefore we can conclude that IT causes improvement in Iran
stock exchange information structure.

6. Conclusion

There are several theories that exchangers use them when they meet exchange
mechanism for administrating the orders, implying that which one of exchange
characteristics are interesting for investors and which one of attitudes causes that
investors chose another alternative for investing. This paper presented some evidence
about the basis of these theories.
But we must emphasize that we met a unique status and there are many variables for
determining the exchange volume, instability and cash. Each exchange organization
applies a group of market variables, organization and monitoring characteristics and etc
to present it in a unique way. Therefore we should be cautious about generalization of
our findings. Results of IT implementing in Iran stock exchange may be as follows:
•Basic increasing in exchange volume and cash; cash increasing for stocks with low
cash have been more.
•No outcome instability has been observed
•By partial increasing of serial correlation in outcome distributions it seems that the
market becomes more inefficient but the reduction in outcome distributions bump
shows the improvement of information structure.(Table 8)

Table 8 – the result of increasing of serial correlation in outcome distributions


% Days Not Traded Serial Correlation Skewness Kurtosis
N Before After Before After Before After Before After
1 27.6% 11.1% 0.17962 0.07950 1.9532 0.2187 22.6694 3.6375
2 41.2% 69.1% 0.02235 -0.00197 -8.0874 -6.6663 85.7731 52.8136
3 23.5% 33.7% -0.05612 0.10065 -6.7015 -7.1107 61.5705 65.5546
4 29.6% 51.0% -0.11989 -0.01244 -5.4698 -6.4956 48.3435 55.0329
5 23.0% 10.7% 0.16099 0.43827 -1.487 0.3084 15.0154 2.3552
6 48.6% 23.0% -0.06355 0.44333 -10.7059 5.3777 117.311 52.6449
7 53.9% 25.9% -0.10689 0.04119 -3.7524 -10.2635 35.7151 126.0364
8 26.7% 14.0% -0.06790 0.11912 -10.0946 6.9879 115.2233 79.6495
9 28.8% 2.9% 0.09127 -0.00737 -6.8976 -6.9721 63.0236 66.3665
10 11.9% 7.0% -0.04235 0.05055 -12.383 -6.5254 171.4185 59.196
11 40.3% 7.4% -1.00000 0.24769 -9.0634 -2.4226 95.7999 20.6623
12 29.2% 23.0% 0.25098 0.45970 -0.1752 -0.2958 3.3521 1.5204
13 32.5% 13.2% -0.04755 -0.07910 -7.3637 -6.7844 82.308 75.2284
14 28.8% 14.0% 0.01193 0.12559 -8.7933 -4.2867 101.7993 39.2212
15 24.3% 30.0% 0.22712 -0.03931 1.1057 -8.8223 4.9108 97.3996
16 20.6% 7.8% -0.00286 0.08797 -9.766 -2.4726 115.8006 29.3435
17 19.8% 32.5% 0.16239 0.10060 -3.8627 -8.1924 46.6149 89.956
18 42.8% 11.9% -0.04229 -0.12665 -9.1513 -7.5445 99.7192 94.9699
19 46.9% 35.0% -0.00672 0.31704 -6.1163 -0.1061 59.4838 2.2905
20 68.3% 13.6% 0.07451 0.28312 -4.0255 -0.661 35.1165 7.2852
21 26.3% 32.5% 0.00978 0.30534 -9.7499 -3.3732 110.1237 27.5491
22 33.3% 52.7% -0.01704 -0.00657 -4.4216 -8.9277 48.2602 87.916
23 51.9% 18.5% 0.02206 0.10165 -8.4228 -1.5694 84.0179 14.6909
24 16.5% 11.9% -0.06013 0.15900 -5.1239 -1.2329 41.9866 8.8508
25 54.7% 17.3% -0.17930 0.29008 -3.3986 0.1171 31.511 1.5832
26 47.7% 27.2% 0.08200 0.04473 -6.446 -8.3649 64.0885 96.9895
27 31.7% 14.0% 0.14871 0.15254 0.9392 -0.5434 25.3421 5.0652
28 22.6% 22.2% 0.03189 0.16617 -6.679 -3.2203 69.256 34.1158
29 53.9% 59.3% 0.70005 0.44640 -0.1986 -0.1676 3.2654 0.4107
30 37.9% 26.7% 0.03216 0.02909 10.7441 -11.8012 124.5376 151.4791
31 23.0% 30.9% 0.05308 0.02083 -9.4082 -1.8085 121.8935 12.4949
32 31.3% 23.5% -0.05355 0.02597 -9.9639 -5.3792 111.1549 58.3912
33 53.1% 12.8% 0.39005 0.01869 0.9647 -4.4846 1.5896 49.7506
34 37.4% 62.1% 0.05744 0.57355 -5.7248 -0.1465 58.5325 0.9169
35 55.6% 12.3% 0.13141 0.10754 -2.0594 0.1178 18.449 3.9538
36 23.0% 61.7% -0.05514 -0.01426 -6.0826 -7.9126 64.9001 70.0967
37 30.0% 19.8% -0.01181 0.24080 -5.4241 -2.7712 64.058 25.4697
38 8.2% 8.2% 0.13291 0.24525 -6.6555 -2.1082 76.721 20.9077
39 25.9% 37.9% -0.06305 0.11564 -7.2552 -5.3412 69.379 59.1099
40 12.8% 27.6% 0.02105 0.10216 -8.7465 -6.9459 111.431 72.2891
41 35.8% 71.2% 0.00756 0.26740 -9.3879 -1.7588 107.5316 5.2112
42 28.4% 18.5% 0.22870 0.31739 -0.5705 -1.8091 7.6819 12.5325
43 15.6% 14.8% 0.02979 0.00070 -2.0051 -4.9001 20.5388 47.2491
44 13.6% 23.9% 0.07028 -0.08622 -12.4408 -9.4035 173.4104 101.6095
45 33.7% 61.3% 0.00237 0.28436 -10.0122 -3.9791 114.1619 28.224
46 8.6% 8.2% 0.19408 0.06052 -4.0061 -8.5817 45.1027 107.7931
47 51.4% 41.2% -0.00296 0.06460 -9.805 -6.1482 103.2813 44.7329
48 23.5% 16.0% -0.33133 0.08147 -5.0091 -2.1274 67.5127 53.0398
49 52.3% 29.6% -0.02360 0.11882 4.0959 10.0245 30.0574 119.0047
50 15.6% 17.7% 0.15512 -0.01645 -0.5407 -3.9376 22.078 71.2138
51 42.8% 20.6% 0.16039 0.38648 -6.6733 0.3036 71.7821 2.1948
52 9.5% 7.4% 0.10839 0.26754 1.6502 0.3612 6.1865 3.8217
53 9.9% 11.1% 0.19443 -0.02529 -1.3055 -10.6612 15.6497 141.5127
54 50.6% 22.6% -0.14916 0.02793 -6.9751 -7.2075 74.3721 79.6553
55 11.5% 11.5% 0.09024 0.15911 -3.986 -2.5504 31.7053 19.2165
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