Derrick Hang February 10, 2010 Economics 201FS

Apple Inc. (AAPL): January 16, 1997 – January 7, ,920 Days IBM (IBM): April 9, 1997 – January 7, ,925 Days Proctor Gamble Co (PG): April 9, 1997 – January 7, ,924 Days Price data available every minute from 9:35 AM to 3:59 PM for each trading day Based on volatility signature plots, an interval of 11 minutes was chosen

Apple Inc. (AAPL): January 6, :04 AM January 10, :44PMannouncement of stock split IBM (IBM): No clear outliers Proctor Gamble Co (PG): January 20, 20001:37PMannouncement of stock split July 1, 20031:18PM For this initial analysis, set 0bvious return outliers to zero. (Rationale: Stock splits, revolutionary product reveal, etc. do not happen that often; however, this should not be completely ignored in later analysis)

1% Significance Level=4 jump days 5% Significance Level=9 jump days 10% Significance Level=33 jump days

1% Significance Level=0 jump days 5% Significance Level=0 jump days 10% Significance Level=25 jump days

1% Significance Level=0 jump days 5% Significance Level=7 jump days 10% Significance Level=28 jump days

1% Significance Level=17 jump days 5% Significance Level=49 jump days 10% Significance Level=107 jump days

1% Significance Level=0 jump days 5% Significance Level=10 jump days 10% Significance Level=44 jump days

1% Significance Level=2 jump days 5% Significance Level=23 jump days 10% Significance Level=53 jump days