Table 6 Behavior of volatility: pre- vs. post-nighttime trading (Dalian Commodity Exchange)
From: The effect of nighttime trading of futures markets on information flows: evidence from China
Pre | Post | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures | Constant (t-stat) | MON (t-stat) | DVOM (t-stat) | DOI (t-stat) | Lags | Adjusted R 2 | Constant (t-stat) | MON (t-stat) | DVOM (t-stat) | DOI (t-stat) | Lags | Adjusted R 2 |
RBD palm olein | −0.0145** (−2.099) | 0.0038*** (5.637) | −0.0311** (−2.429) | 0.0472*** (2.749) | 9 | 0.2015 | 0.0951 (1.438) | 0.0006 (0.694) | 0.0853*** (5.452) | −0.1753** (−2.535) | 2 | 0.1483 |
Metallurgical coke | 0.0148 (0.790) | 0.0017** (2.486) | 0.0586*** (7.745) | −0.0700*** (−3.163) | 5 | 0.1713 | −0.0089 (−0.496) | −0.0001 (−0.211) | 0.0785*** (10.376) | −0.0664*** (−3.308) | 5 | 0.3935 |
No. 1 soybeans | −0.0005 (−0.024) | 0.0024*** (6.361) | 0.0373*** (4.323) | −0.0354 (−1.453) | 10 | 0.2063 | 0.0486 (1.161) | 0.0005 (0.648) | 0.0958*** (7.963) | −0.1414*** (−2.928) | 2 | 0.3808 |
Soybean meal | 0.0122 (0.364) | 0.0031*** (6.662) | 0.0182 (1.382) | −0.0279 (−0.830) | 10 | 0.1242 | 0.2984*** (3.434) | 0.0026** (2.472) | 0.0959*** (5.703) | −0.3872*** (−4.447) | 2 | 0.2841 |
Crude soybean oil | 0.0474 (1.030) | 0.0034*** (5.602) | −0.0011 (−0.072) | −0.0449 (−0.917) | 8 | 0.1998 | 0.2916*** (2.789) | 0.0009 (1.129) | 0.0722*** (4.231) | −0.3565*** (−3.270) | 4 | 0.1508 |
Coking coal | −0.0671* (−1.913) | 0.0021** (2.245) | 0.0924*** (7.664) | −0.0205 (−0.533) | 1 | 0.2247 | −0.0096 (−0.345) | −5.89e-06 (−0.006) | 0.0785*** (6.202) | −0.0644* (−1.927) | 2 | 0.2887 |
Iron ore | 0.0627 (1.312) | 0.0013 (0.983) | 0.1018*** (7.358) | −0.1570*** (−3.033) | 1 | 0.1838 | 0.0896 (0.795) | −0.0013 (−0.875) | 0.1498*** (5.133) | −0.2266* (−1.755) | 1 | 0.1494 |