Dependent variable | Constant | \( {R}_{i,t-1}^c \) | \( {R}_{t-1}^{s\&p} \) | White test | R2 |
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\( {R}_{m,t}^c \) | 3.115 × 10−4 (2.152 × 10−4) | 0.017 (0.020) | 0.253*** (0.020) | 77.440 *** | 0.066 |
\( {R}_{a,t}^c \) | 2.934 × 10−4 (1.845 × 10− 4) | −0.127*** (0.020) | − 0.027 (0.017) | 138.170*** | 0.018 |
\( {R}_{d,t}^c \) | 5.210 × 10−5 (2.958 × 10−4) | 0.010 (0.020) | 0.220*** (0.027) | 110.310*** | 0.026 |
- Notes. This table reports regressions of the returns of the CSI300 in the morning, afternoon, and whole day on a constant, a one-order-lagged dependent variable (\( {R}_{i,t-1}^c \)) and a one-order-lagged return of the SPX (\( {R}_{t-1}^{s\&p} \)), respectively. The sample period spans from January 1, 2010, to March 31, 2020. The white test is applied to test the heteroskedasticity. Newey-West Robust standard errors are reported in parentheses. One, two and three asterisks (*) indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level, respectively