Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange

Financial Innovation

Table 2 Descriptive statistics of different measures of 5-min returns and volume of both TOD and TOM

	Period	Mean	Max	Min	SD
Regular return	Opening	− 0.0004	0.5448	− 0.5739	0.0418
	Midday	− 0.0001	0.3672	− 0.3368	0.0181
	Closing	0.0006	0.2150	− 0.1798	0.0198
	Overall	− 0.0001	0.5448	− 0.5739	0.0213
Max–min Return	Opening	0.0311	0.7048	0.0000	0.0526
	Midday	0.0187	0.6943	0.0000	0.0260
	Closing	0.0223	0.5043	0.0000	0.0298
	Overall	0.0201	0.7048	0.0000	0.0298
Volume (Millions)	Opening	36.34	699.00	0.0200	35.81
	Midday	24.21	1010.00	0.0010	27.32
	Closing	16.69	651.00	0.0040	24.64
	Overall	24.61	1010.00	0.0010	28.25
Bid-ask spread	Opening	0.0081	0.1296	0.0000053	0.0061
	Midday	0.0072	0.0575	0.0000017	0.0049
	Closing	0.0093	0.1262	0.0000810	0.0065
	Overall	0.0074	0.1291	0.0000017	0.0052