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

Financial Innovation

Table 4 Comparison of volatility measures, volume and spread for 5-min intervals

	B/A	Count	SD		Mean Volatility			Mean Volume (mln.)	Mean Spread
	B/A	Count	rr	rmm	Park	RS	GK	Mean Volume (mln.)	Mean Spread
Opening	Before	2080	0.033	0.042	0.043	0.009	0.015	32.65	0.0077
	After	1769	0.050	0.062	0.062	0.014	0.021	40.68	0.0085
	F/t -Stat	Dif	0.45***	0.46***	6.67***	7.23***	6.71***	6.69***	4.02***
Midday	Before	17,183	0.016	0.024	0.026	0.006	0.009	21.25	0.0078
	After	19,702	0.020	0.027	0.036	0.009	0.013	26.80	0.0068
	F/t -Stat	Dif	0.66***	0.79***	21.61***	21.97***	21.16***	19.95***	− 15.75***
Closing	Before	2087	0.019	0.031	0.036	0.008	0.01	18.69	0.0104
	After	1747	0.020	0.029	0.038	0.009	0.013	14.29	0.083
	F/t -Stat	Dif	0.90**	1.14***	1.33	0.96	0.47	− 5.49***	− 10.59***
All Day	Before	21,350	0.019	0.027	0.029	0.006	0.010	22.11	0.0077
	After	23,218	0.023	0.032	0.038	0.009	0.013	26.92	0.0072
	F/t -Stat	Dif	0.64***	0.75***	19.81***	21.03***	19.51***	18.23***	− 9.75***

*** and ** indicates a 1% and 5% level of significance, respectively. The variance ratio test is used for variance comparisons of rr and rmm. The volatility measure of Park, RS and GK are tested using a classical t-test for mean difference with unequal variances. For the mean difference of volume and spread, the classical t-test is also used with unequal variances