Variable | \( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) | \( {R}_t^{s\&p} \) |
|---|
\( {R}_{m,t}^c \) | 1 | | | |
\( {R}_{a,t}^c \) | 0.069*** (3.377) | 1 | | |
\( {R}_{d,t}^c \) | 0.785*** (62.164) | 0.672*** (44.481) | 1 | |
\( {R}_{t-1}^{s\&p} \) | 0.133*** (6.584) | 0.103*** (5.071) | 0.133*** (6.584) | 1 |
- Notes. This table reports the unconditional correlation matrix of semi-day returns of the CSI300 in the morning, semi-day returns of the CSI300 in the afternoon, daily returns of the CSI300 and daily returns of the SPX. The sample period spans from January 1, 2010, to March 31, 2020. The t-statistics of the correlations are shown in parenthesis. One, two and three asterisks (*) indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level, respectively
