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

Financial Innovation

Table 5 Variance comparison of volatility measures, volume and spread for 15-min intervals

	B/A	Count	SD		Mean Volatility			Mean Volume (Millions)	Mean Spread
	B/A	Count	rr	rmm	Park	RS	GK	Mean Volume (Millions)	Mean Spread
Opening	Before	700	0.056	0.069	0.091	0.021	0.032	97.35	0.0085
	After	590	0.084	0.101	0.132	0.032	0.046	122.00	0.0094
	F/t -Stat	Dif	0.45***	0.46***	5.03***	5.53***	5.04***	4.60***	2.72***
Midday	Before	5803	0.025	0.040	0.055	0.014	0.020	63.00	0.0080
	After	6608	0.031	0.044	0.070	0.019	0.026	79.90	0.0077
	F/t -Stat	Dif	0.61***	0.82***	12.16***	12.47***	11.55***	14.73***	− 2.99***
Closing	Before	697	0.027	0.046	0.075	0.021	0.029	55.92	0.013
	After	583	0.031	0.045	0.082	0.022	0.030	42.74	0.011
	F/t -Stat	Dif	0.75***	1.05	1.52	1.22	0.93	− 14.19***	− 1.63*
All Day	Before	7200	0.029	0.044	0.060	0.015	0.022	65.65	0.0085
	After	7781	0.038	0.051	0.075	0.020	0.028	80.30	0.0081
	F/t-Stat	Dif	0.60***	0.75***	11.65***	12.45***	11.17***	13.28***	− 2.96***

*** and ** indicates a 1% and 5% level of significance, respectively. The variance ratio test is used for variance comparisons of rr and rmm. Volatility measures 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