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 1 2 3 Company Name Absal Pars Aluminum Iran Packing N 20 21 22 Company Name Dena Tire Pars Co. Iran Lent N 39 40 41 Company Name Behshahr Co. Bahonar Cooper Sarma Afarin

4 5 6 7 8 9 10 11 12 13 14 15 16 17

Behpak 23 Iran Pipe & Machin Chini Iran 24 Margarin Daru Pakhsh 25 Motogen Jaber Drug 26 Behran Oil Raazak Drug 27 Niroo Moharrake Bahman Group 28 Paxan Iran Khodro 29 Pars Pamchal Iran Khodro Diesel 30 Pars Daroo Iran Tire 31 Pars Minoo Alborz Cable 32 Arak Petrol Kaf 33 Farabi Petrol Iran Carbon 34 Abadan Petrol Payam Co. 35 Naab Oil Kimiadaroo 36 Saipa 37 Alborz Investment 38 Ama Co.

42 43 44 45 46 47 48 49 50 51 52 53 54 55

SASAN Melli Bank Investment Sepanta Shahd Iran Shoko Pars Fars & Khoozestan Cement Kerman Cement Tehran Cement Melat Investment Iran Melli Investment Petrol Investment Ghadir Investment Rana Investment Behshahr Industrial Development

18 Pak Dairy 19 Lamiran

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:

LR =

TURN jt 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
N 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 Starting price 1301 4930 2405 3357 4371 6215 5576 5909 2500 4930 4896 2152 6005 6120 2100 4319 4499 5531 6103 3001 6250 3271 3850 3989 5300 18850 1098 2901 Ending price 2280 5350 1392 3100 11576 15222 10250 17890 2353 2290 2338 1818 10697 2302 14140 1199 6700 7327 5730 8850 3500 4300 4488 3310 5145 50011 1770 5039 Before volume 21.229 75.077 10.316 5.635222 15.469 4.72 25.24773 2.121 45.053 304.356 8.137 11.563 2.79 26.009 62.504 22.585 8.257 10.24745 8.189 196.988 89.884 7.057 21.876 23.065 48.628 19.308 274.002 13.208 After volume 35.778 2.661 24.418 5.452 31.39 214.245 48.473 16.60988 289.333 1084.789 280.086 78.722 72.536 37.947 48.02252 19.60868 11.744 53.476 13.742 67.744 5.343 12.02 18.394 130.878 100.308 52.599 77.617 20.899 Befor turnover 36.43 1034.53 27.76 23.56 87.90 24.33 210.00 16.53 129.54 1331.39 40.07 42.12 22.92 174.26 245.07 77.94 41.83 66.02 86.53 819.53 444.26 34.58 74.56 89.54 428.53 518.45 438.76 50.54 After turnover 77.98 25.06 52.28 22.38 482.79 2992.26 538.14 267.08 757.34 3280.64 669.80 210.27 1033.85 121.61 867.93 26.84 106.47 330.05 88.43 776.86 17.42 112.26 81.81 401.88 527.18 2956.00 176.06 103.31 Before STDEV 0.00896 0.00825 0.00590 0.00496 0.00216 0.00289 0.02600 0.00225 0.02594 0.05632 0.01613 0.01336 0.00339 0.00931 0.01656 0.01051 0.01505 0.00438 0.01461 0.03658 0.00309 0.00715 0.01881 0.01305 0.03058 0.00153 0.01284 0.00660 After STDEV 0.00927 0.00473 0.01195 0.00523 0.00853 0.00568 0.01345 0.00684 0.01844 0.01500 0.01919 0.02023 0.00789 0.01500 0.01450 0.01099 0.01414 0.00839 0.00645 0.01558 0.00164 0.00352 0.00750 0.01454 0.01372 0.01418 0.01188 0.00581 Before LR 4064.602 125342.276 4704.887 4744.779 40609.144 8407.022 8077.986 7340.625 4993.561 23640.597 2484.420 3152.152 6766.295 18709.982 14802.895 7412.853 2778.392 15087.273 5923.560 22401.587 143829.322 4838.666 3963.874 6862.104 14011.780 339551.413 34172.256 7657.881 After LR 8414.521 5298.852 4376.225 4282.667 56567.132 526465.416 40010.244 39040.612 41070.003 218720.311 34904.932 10392.080 130998.251 8109.491 59875.662 2442.776 7527.742 39349.381 13701.713 49866.723 10624.168 31882.184 10902.867 27647.405 38414.195 208519.021 14820.157 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
2.270 (0.415)

β
0.574 (0.119)

R2

S (ε )

0.30

1.263

The modified

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:

R 2 in this regression was equaled to 0.3 showing that exchange volume

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
6.836 (1.162)

β
0.380 (0.121)

R2
0.154

S(ε )
1.304

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 +β RET j +εj

α

β

R2

S ( ε)

0.877 0.195 (0.190) (0.216)

0.015

1.394

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
0.55

S(ε )
0.943

0.325 0.648 (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 0.217

S (ε ) 1.422

0.751 0.851 (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 ):

rt =

Cov ( xt , xt + k ) (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

N 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55

% Days Not Traded Before After 27.6% 11.1% 41.2% 69.1% 23.5% 33.7% 29.6% 51.0% 23.0% 10.7% 48.6% 23.0% 53.9% 25.9% 26.7% 14.0% 28.8% 2.9% 11.9% 7.0% 40.3% 7.4% 29.2% 23.0% 32.5% 13.2% 28.8% 14.0% 24.3% 30.0% 20.6% 7.8% 19.8% 32.5% 42.8% 11.9% 46.9% 35.0% 68.3% 13.6% 26.3% 32.5% 33.3% 52.7% 51.9% 18.5% 16.5% 11.9% 54.7% 17.3% 47.7% 27.2% 31.7% 14.0% 22.6% 22.2% 53.9% 59.3% 37.9% 26.7% 23.0% 30.9% 31.3% 23.5% 53.1% 12.8% 37.4% 62.1% 55.6% 12.3% 23.0% 61.7% 30.0% 19.8% 8.2% 8.2% 25.9% 37.9% 12.8% 27.6% 35.8% 71.2% 28.4% 18.5% 15.6% 14.8% 13.6% 23.9% 33.7% 61.3% 8.6% 8.2% 51.4% 41.2% 23.5% 16.0% 52.3% 29.6% 15.6% 17.7% 42.8% 20.6% 9.5% 7.4% 9.9% 11.1% 50.6% 22.6% 11.5% 11.5%

Serial Correlation Before After 0.17962 0.07950 0.02235 -0.00197 -0.05612 0.10065 -0.11989 -0.01244 0.16099 0.43827 -0.06355 0.44333 -0.10689 0.04119 -0.06790 0.11912 0.09127 -0.00737 -0.04235 0.05055 -1.00000 0.24769 0.25098 0.45970 -0.04755 -0.07910 0.01193 0.12559 0.22712 -0.03931 -0.00286 0.08797 0.16239 0.10060 -0.04229 -0.12665 -0.00672 0.31704 0.07451 0.28312 0.00978 0.30534 -0.01704 -0.00657 0.02206 0.10165 -0.06013 0.15900 -0.17930 0.29008 0.08200 0.04473 0.14871 0.15254 0.03189 0.16617 0.70005 0.44640 0.03216 0.02909 0.05308 0.02083 -0.05355 0.02597 0.39005 0.01869 0.05744 0.57355 0.13141 0.10754 -0.05514 -0.01426 -0.01181 0.24080 0.13291 0.24525 -0.06305 0.11564 0.02105 0.10216 0.00756 0.26740 0.22870 0.31739 0.02979 0.00070 0.07028 -0.08622 0.00237 0.28436 0.19408 0.06052 -0.00296 0.06460 -0.33133 0.08147 -0.02360 0.11882 0.15512 -0.01645 0.16039 0.38648 0.10839 0.26754 0.19443 -0.02529 -0.14916 0.02793 0.09024 0.15911

Skewness Before 1.9532 -8.0874 -6.7015 -5.4698 -1.487 -10.7059 -3.7524 -10.0946 -6.8976 -12.383 -9.0634 -0.1752 -7.3637 -8.7933 1.1057 -9.766 -3.8627 -9.1513 -6.1163 -4.0255 -9.7499 -4.4216 -8.4228 -5.1239 -3.3986 -6.446 0.9392 -6.679 -0.1986 10.7441 -9.4082 -9.9639 0.9647 -5.7248 -2.0594 -6.0826 -5.4241 -6.6555 -7.2552 -8.7465 -9.3879 -0.5705 -2.0051 -12.4408 -10.0122 -4.0061 -9.805 -5.0091 4.0959 -0.5407 -6.6733 1.6502 -1.3055 -6.9751 -3.986

After 0.2187 -6.6663 -7.1107 -6.4956 0.3084 5.3777 -10.2635 6.9879 -6.9721 -6.5254 -2.4226 -0.2958 -6.7844 -4.2867 -8.8223 -2.4726 -8.1924 -7.5445 -0.1061 -0.661 -3.3732 -8.9277 -1.5694 -1.2329 0.1171 -8.3649 -0.5434 -3.2203 -0.1676 -11.8012 -1.8085 -5.3792 -4.4846 -0.1465 0.1178 -7.9126 -2.7712 -2.1082 -5.3412 -6.9459 -1.7588 -1.8091 -4.9001 -9.4035 -3.9791 -8.5817 -6.1482 -2.1274 10.0245 -3.9376 0.3036 0.3612 -10.6612 -7.2075 -2.5504

Kurtosis Before 22.6694 85.7731 61.5705 48.3435 15.0154 117.311 35.7151 115.2233 63.0236 171.4185 95.7999 3.3521 82.308 101.7993 4.9108 115.8006 46.6149 99.7192 59.4838 35.1165 110.1237 48.2602 84.0179 41.9866 31.511 64.0885 25.3421 69.256 3.2654 124.5376 121.8935 111.1549 1.5896 58.5325 18.449 64.9001 64.058 76.721 69.379 111.431 107.5316 7.6819 20.5388 173.4104 114.1619 45.1027 103.2813 67.5127 30.0574 22.078 71.7821 6.1865 15.6497 74.3721 31.7053

After 3.6375 52.8136 65.5546 55.0329 2.3552 52.6449 126.0364 79.6495 66.3665 59.196 20.6623 1.5204 75.2284 39.2212 97.3996 29.3435 89.956 94.9699 2.2905 7.2852 27.5491 87.916 14.6909 8.8508 1.5832 96.9895 5.0652 34.1158 0.4107 151.4791 12.4949 58.3912 49.7506 0.9169 3.9538 70.0967 25.4697 20.9077 59.1099 72.2891 5.2112 12.5325 47.2491 101.6095 28.224 107.7931 44.7329 53.0398 119.0047 71.2138 2.1948 3.8217 141.5127 79.6553 19.2165

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