From: The effect of nighttime trading of futures markets on information flows: evidence from China
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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 |
White sugar | 0.0352 (0.897) | 0.0015*** (3.179) | 0.0613*** (3.673) | −0.0938** (−2.314) | 7 | 0.1676 | 0.0595 (0.921) | 0.0013 (1.163) | 0.0986*** (4.794) | −0.1516** (−2.227) | 0 | 0.1281 |
PTA | 0.0148 (0.637) | 0.0028*** (4.720) | 0.0082 (0.376) | −0.0205 (−0.581) | 7 | 0.1363 | 0.2208* (1.927) | 0.0024 (1.443) | 0.1291*** (4.055) | −0.3397*** (−2.685) | 0 | 0.1013 |
No. 1 cotton | 0.0042 (0.268) | 0.0013*** (3.894) | 0.0386*** (8.654) | −0.0417** (−2.520) | 8 | 0.2952 | 0.0443 (1.272) | 0.0015* (1.878) | 0.0622*** (6.968) | −0.1036*** (−2.676) | 2 | 0.2598 |
Rapeseed meal | 0.0743** (1.976) | 0.0020** (2.315) | 0.1022*** (7.406) | −0.1712*** (−4.020) | 1 | 0.1161 | 0.0448 (0.778) | 0.0014 (1.082) | 0.1053*** (5.819) | −0.1425** (−2.405) | 0 | 0.1016 |
Methanol | −0.0022 (−0.087) | 0.0018*** (2.921) | 0.0574*** (8.429) | −0.0525* (−1.885) | 3 | 0.2735 | −0.0901 (−1.437) | 0.0002 (0.104) | 0.1417*** (4.118) | −0.0402 (−0.468) | 0 | 0.1811 |
Rapeseed oil | 0.0393 (1.581) | 0.0024*** (5.077) | 0.0596*** (11.281) | −0.0973*** (−3.623) | 8 | 0.2517 | 0.0355 (0.248) | 0.0014 (0.988) | 0.0610*** (2.770) | −0.0931 (−0.610) | 0 | 0.1179 |
Flat glass | −0.0462 (−1.586) | 0.0006 (1.037) | 0.1090*** (12.136) | −0.0568* (−1.693) | 3 | 0.2651 | −0.0308 (−0.962) | 0.0021* (1.673) | 0.1348*** (8.025) | −0.0996** (−2.616) | 1 | 0.3977 |
Thermal coal | 0.0144 (0.376) | 0.0003 (0.277) | 0.0381*** (4.874) | −0.0499 (−1.237) | 2 | 0.2139 | −0.0186 (−0.588) | 0.0009 (0.800) | 0.0430*** (4.811) | −0.0202 (−0.634) | 0 | 0.2044 |