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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