Skip to main content

Table 1 Variable definitions

From: Half-day trading and spillovers

Variable Explanations
\( {R}_{m,t}^c \) Semi-day return of the CSI300 Index in the morning on day t
\( {R}_{a,t}^c \) Semi-day return of the CSI300 Index in the afternoon on day t
\( {R}_{d,t}^c \) Daily return of the CSI300 Index on day t
\( {R}_t^{s\&p} \) Daily return of the S&P 500 Index on day t
\( {Vol}_{m,t}^c \) Realized volatility of the semi-day return of the CSI300 Index in the morning on day t
\( {Vol}_{a,t}^c \) Realized volatility of the semi-day return of the CSI300 Index in the afternoon on day t
\( {Vol}_{d,t}^c \) Realized volatility of the daily return of the CSI300 Index on day t
\( {Vol}_t^{s\&p} \) Realized volatility of the daily return of the S&P 500 Index on day t
  1. Notes. The returns are all calculated as log returns, i.e., the first difference of the logarithm of the closing prices of the stock market indices. The realized volatility of a return on day t is defined as the standard deviation of the returns from day −5 to t + 5