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

Financial Innovation

Table 3 Descriptive statistics of different measures of 15-min returns and volume of both TOD and TOM

	Period	Mean	Max	Min	SD
Regular return	Opening	− 0.0001	0.6010	− 0.5423	0.0702
	Midday	0.0001	0.3514	− 0.4217	0.0285
	Closing	0.0028	0.1830	− 0.1874	0.0293
	Overall	0.0003	0.6010	− 0.5423	0.0342
Max–min return	Opening	0.0660	0.7048	0.0000	0.0860
	Midday	0.0376	0.7115	0.0000	0.0421
	Closing	0.0470	0.5155	0.0000	0.0460
	Overall	0.0409	0.7115	0.0000	0.0485
Volume (Millions)	Opening	109.00	1580.00	0.22	91.27
	Midday	72.00	1350.00	0.15	65.72
	Closing	49.91	736.00	0.73	56.62
	Overall	73.26	1580.00	0.15	68.73
Bid-ask spread	Opening	0.0090	0.1311	0.000051	0.0062
	Midday	0.0122	0.3216	0.000087	0.0191
	Closing	0.0078	0.2109	0.000003	0.0056
	Overall	0.0083	0.3216	0.000003	0.0077