Table 5 Behavior of volatility: pre- vs. post-nighttime trading (Shanghai Futures Exchange) \( \left|{\varepsilon}_{it}\right|={\beta}_{0i}+{\beta}_{1i}{\mathrm{MON}}_t+{\beta}_{2i}{\mathrm{DVOM}}_{it}+{\beta}_{3i}{\mathrm{DOI}}_{it}+{\displaystyle \sum_{j=1}^{10}{\rho}_{ij}\left|{\varepsilon}_{i,t-j}\right|+{\epsilon}_{it}}\kern1.25em (2) \)

Gold

−0.0119 (−0.599)

0.0014** (2.004)

0.0551*** (3.483)

−0.0403 (−1.344)

7

0.1515

−0.0320 (−0.653)

0.0009 (1.553)

0.0364*** (2.763)

0.0009 (0.016)

0

0.0711

Silver

0.0529 (0.365)

0.0049 (1.194)

−0.0080 (−0.103)

−0.0397 (−0.257)

2

0.1406

−0.0443 (−1.015)

0.0002 (0.187)

0.0461*** (2.594)

0.0034 (0.074)

4

0.1143

Copper cathode

0.0139 (0.344)

0.0019*** (3.308)

−0.0176*** (−2.974)

0.0061 (0.147)

9

0.1869

−0.0506 (−0.675)

0.0012 (1.556)

0.1290*** (6.560)

−0.0750 (−0.938)

2

0.2841

Aluminum

−0.0770*** (−4.750)

0.0008** (2.422)

0.0302*** (4.616)

0.0480** (2.364)

8

0.3030

−0.0185 (−0.509)

0.0006 (1.611)

0.0224 (1.593)

−0.0011 (−0.023)

2

0.1439

Zinc

−0.0597* (−1.705)

0.0025*** (3.808)

−0.0138 (−1.107)

0.0761** (1.999)

8

0.1672

−0.0392 (−1.012)

0.0005 (0.657)

0.0277 (1.556)

0.0139 (0.278)

2

0.1384

Lead

0.0060 (1.386)

0.0016** (2.576)

0.0234*** (5.499)

−0.0278*** (−3.783)

3

0.2340

0.0323 (1.264)

0.0000 (0.027)

0.0408*** (6.676)

−0.0709** (−2.470)

4

0.2764

Steel rebar

−0.0084 (−0.422)

0.0020*** (4.498)

0.0987*** (11.146)

−0.0883*** (−4.124)

8

0.2530

0.0672 (1.074)

0.0015 (1.403)

0.1276*** (5.945)

−0.1905*** (-2.848)

0

0.3235

Natural rubber

0.0019 (0.101)

0.0022*** (4.089)

−0.0334*** (−4.294)

0.0354* (1.840)

9

0.1040

0.0207 (0.164)

0.0009 (0.549)

0.1761*** (3.070)

−0.1815* (−1.703)

1

0.1562