You are examining the effects of the January 2001 NYSE implementation of the trading of shares in minimal increments (ticks) of $0.01 (decimalization). In particular, you are analyzing a sample of 52 Canadian companies cross-listed on both the NYSE and the Toronto Stock Exchange (TSE). You find that the bid-ask spreads of these shares decline on both exchanges after the NYSE decimalization. You run a linear regression analyzing the decline in spreads on the TSE, and find that the decline on the TSE is related to company size, predecimalization ratio of NYSE to TSE spreads, and decline in the NYSE spreads. The relationships are statistically significant. You want to be sure, however, that the results are not influenced by conditional heteroskedasticity. Therefore, you regress the squared residuals of the regression model on the three independent variables. The R2 for this regression is 14.1 percent. Perform a statistical test to determine if conditional heteroskedasticity is present.
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