measuring impacts of regualtion on bid-ask spread by OLS

[del toro]

Hello,

I am new to this forum and was not able to find any information, which could help me.

I am currently trying to measure the impacts of regulation on blue chips, mid and small caps. I constructed an equation, which i think is appropriate to measure such effects. I basically take the bid-ask spread and look at the changes of the spread after the regulations changes. But i dont get the results i really expect, besides one of the coefficients of the dummy variable is insignificant. Is there anybody who have an idea what I made wrong and can give me some suggestions. I would really appreciate the help.

Here is the equation for the first blue chip company I used:

SB1=C(1)+C(2)*time+C(3)*d1+c(4)*d2+c(5)*d3

SB1= is the relative spread of a blue chip company, i have 3 spread for blue chips and 3 spreads for small caps (all of them have a different trading volume)
SB2 = relative spread blue chip company 2
SB3 = relative spread blue chip company 3
SS1 = relative spread small cap company 1 and so on
d1,d2,d3= are dummies for the three periods where the settlement period on he LSE was changed to t+10,t+5 and t+3
time = is the sample period

I want to see from the slope of C(3),C(4) and C(5) if the changes of regulation have a negative or positive impact. The dummies are limited for the 1 year period after the change occured.

It would be great if someone has some ideas or suggestions. I have a EViews 5 workfile, hope its ok.