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Fig. 1 | Frontiers of Business Research in China

Fig. 1

From: Half-day trading and spillovers

Fig. 1

Realized volatility of the SPX and CSI300 in the morning. Notes. This figure plots the realized volatilities of CSI300 in the morning and SPX over the whole day. The realized volatility of CSI300 in the morning on day t is calculated as the standard deviation of the semi-day morning return of CSI300 from day t – 5 to t + 5. The realized volatility of SPX on day t is defined as the standard deviation of the daily return of SPX from day t – 5 to t + 5. The data are from the Wind database and span from January 1, 2010, to December 31, 2019 (The realized volatilities from January 1 to March 31, 2020 are much greater than in previous periods. Please refer to Appendix B for details about realized volatilities during that period.)

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