Table 5.

Results of the linear model

Dependent variable	Constant	$R_{i,t-1}^c$	$R_{t-1}^{s\&p}$	White test	R2
$R_{m,t}^c$	3.115 × 10−4 (2.152 × 10−4)	0.017 (0.020)	0.253*** (0.020)	77.440 ***	0.066
$R_{a,t}^c$	2.934 × 10−4 (1.845 × 10− 4)	−0.127*** (0.020)	− 0.027 (0.017)	138.170***	0.018
$R_{d,t}^c$	5.210 × 10−5 (2.958 × 10−4)	0.010 (0.020)	0.220*** (0.027)	110.310***	0.026

Notes. This table reports regressions of the returns of the CSI300 in the morning, afternoon, and whole day on a constant, a one-order-lagged dependent variable ($R_{i,t-1}^c$) and a one-order-lagged return of the SPX ($R_{t-1}^{s\&p}$), respectively. The sample period spans from January 1, 2010, to March 31, 2020. The white test is applied to test the heteroskedasticity. Newey-West Robust standard errors are reported in parentheses. One, two and three asterisks (*) indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level, respectively