Skip to main content

Table 7 Behavior of volatility: pre- vs. post-nighttime trading (Zhengzhou 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

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

  1. ***, ** and * denote significance at 1 %, 5 %, and 10 % level, respectively