Table 1 Variable definitions
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 |