Panel regression analysis result
| Beta calculation method | Beta | Day | Beta × day | R2[%] |
|---|---|---|---|---|
| A. Equal-weighted returns | ||||
| Daily return | 0.019*** (8.915) | 0.011*** (3.796) | −0.039*** (−12.974) | 12.239 |
| Daytime return | 0.018*** (9.318) | 0.011*** (4.090) | −0.037*** (−13.926) | 12.917 |
| Overnight return | 0.026*** (11.855) | 0.024*** (8.344) | −0.054*** (−18.050) | 15.017 |
| B. Value-weighted returns | ||||
| Daily return | 0.021*** (8.717) | 0.030*** (9.299) | −0.039*** (−11.874) | 3.565 |
| Daytime return | 0.023*** (10.549) | 0.037*** (11.615) | −0.046*** (−15.065) | 5.589 |
| Overnight return | 0.024*** (9.896) | 0.041*** (12.435) | −0.051*** (−15.036) | 5.264 |
| Beta calculation method | Beta | Day | Beta × day | |
|---|---|---|---|---|
| Daily return | 0.019*** (8.915) | 0.011*** (3.796) | −0.039*** (−12.974) | 12.239 |
| Daytime return | 0.018*** (9.318) | 0.011*** (4.090) | −0.037*** (−13.926) | 12.917 |
| Overnight return | 0.026*** (11.855) | 0.024*** (8.344) | −0.054*** (−18.050) | 15.017 |
| Daily return | 0.021*** (8.717) | 0.030*** (9.299) | −0.039*** (−11.874) | 3.565 |
| Daytime return | 0.023*** (10.549) | 0.037*** (11.615) | −0.046*** (−15.065) | 5.589 |
| Overnight return | 0.024*** (9.896) | 0.041*** (12.435) | −0.051*** (−15.036) | 5.264 |
Note:
Data of 226 months from January 2001 to October 2019 are used to compare the difference between the daytime and overnight returns for the next one month for 10 decile portfolios calculated at the reference date (end of each month). In total, 4,520 data points are used in the panel regression analysis; ***indicate 5% significance level, respectively
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