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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