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Table 5 Results of the linear model

From: Half-day trading and spillovers

Dependent variable Constant \( {R}_{i,t-1}^c \) \( {R}_{t-1}^{s\&p} \) White test R2
\( {R}_{m,t}^c \) 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
  1. 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