Table 4.

Correlation matrix of realized volatilities

Variable	${\mathit{Vol}}_{m,t}^c$	${\mathit{Vol}}_{a,t}^c$	${\mathit{Vol}}_{d,t}^c$	${\mathit{Vol}}_t^{s\&p}$
${\mathit{Vol}}_{m,t}^c$	1
${\mathit{Vol}}_{a,t}^c$	0.532*** (30.738)	1
${\mathit{Vol}}_{d,t}^c$	0.843*** (76.740)	0.847*** (78.071)	1
${\mathit{Vol}}_t^{s\&p}$	0.227*** (11.401)	0.143*** (7.069)	0.148*** (7.318)	1

Notes. This table reports the correlation matrix of the realized volatilities of semi-day returns of the CSI300 in the morning (${\mathit{Vol}}_{m,t}^c$), semi-day returns of the CSI300 in the afternoon (${\mathit{Vol}}_{a,t}^c$), daily returns of the CSI300 (${\mathit{Vol}}_{d,t}^c$) and daily returns of the SPX (${\mathit{Vol}}_t^{s\&p}$). The sample period spans from January 1, 2010, to March 31, 2020. The t-statistics of the correlations are shown in parenthesis. One, two and three asterisks (*) indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level, respectively