Result of regression analysis
| Beta calculation method | ||||||||
|---|---|---|---|---|---|---|---|---|
| Dependent variable | Daily return | Daytime return | Overnight return | |||||
| Slope | R2[%] | Slope | R2[%] | Slope | R2[%] | |||
| A. Equal-weighted returns | ||||||||
| Return | 0.002 (0.065) | 5.007 | 0.000 (0.122) | 0.186 | −0.001 (−0.384) | 1.814 | ||
| Daytime return | −0.020*** (−5.645) | 79.931 | −0.019*** (−6.378) | 83.565 | −0.028*** (−9.118) | 91.223 | ||
| Overnight return | 0.020*** (17.130) | 97.346 | 0.018*** (20.899) | 98.201 | 0.025*** (22.733) | 98.476 | ||
| B.Value-weighted Returns | ||||||||
| Return | 0.004 (1.615) | 24.594 | 0.002 | 13.610 | −0.001 (−0.530) | 3.387 | ||
| Daytime return | −0.018*** (−6.323) | 83.326 | −0.022*** (−6.289) | 83.177 | −0.026*** (−6.992) | 85.937 | ||
| Overnight return | 0.021*** (12.520) | 95.144 | 0.023*** (11.667) | 94.449 | 0.024*** (13.230) | 95.629 | ||
| Beta calculation method | ||||||||
|---|---|---|---|---|---|---|---|---|
| Dependent variable | Daily return | Daytime return | Overnight return | |||||
| Slope | Slope | Slope | ||||||
| Return | 0.002 (0.065) | 5.007 | 0.000 (0.122) | 0.186 | −0.001 (−0.384) | 1.814 | ||
| Daytime return | −0.020 | 79.931 | −0.019 | 83.565 | −0.028 | 91.223 | ||
| Overnight return | 0.020 | 97.346 | 0.018 | 98.201 | 0.025 | 98.476 | ||
| Return | 0.004 (1.615) | 24.594 | 0.002 | 13.610 | −0.001 (−0.530) | 3.387 | ||
| Daytime return | −0.018 | 83.326 | −0.022 | 83.177 | −0.026 | 85.937 | ||
| Overnight return | 0.021 | 95.144 | 0.023 | 94.449 | 0.024 | 95.629 | ||
Note:
The results of the regression analysis performed on the nine security market lines in Figure 1 are indicated in Table A, while the results of the value-weighted calculation of the portfolio return of individual stocks can be observed in Table B.
represents a significance level of 1% and
represents a significance level of 5%
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