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Table 2 Summary statistics

From: Half-day trading and spillovers

Variable \( {R}_{m,t}^c \) \( {R}_{a,t}^c \) \( {R}_{d,t}^c \) \( {R}_t^{s\&p} \)
Mean (%) −0.018 0.029 0.012 0.037
SD (%) 1.087 0.910 1.463 1.086
Min (%) −8.565 −7.292 −8.748 −11.984
Max (%) 5.788 4.835 6.715 9.383
Skewness −0.524 −0.515 −0.515 −0.680
Kurtosis 8.881 10.369 7.408 20.369
ADF-test −46.637*** −39.872*** −48.315*** −19.035***
  1. Notes. The ADF-test is used to test whether the return series has a unit root. In this table, *, **, and *** denote two-tailed significance at the 10%, 5%, and 1% level, respectively