Table 8 The dynamic probability of informed trading for trading hour extension events
| Â | Extension 1 (TOD) | Extension 2 (TOM) | Extension 3 (TOD) | Extension 4 (TOM | Extension 5 (TOD) | |||||
|---|---|---|---|---|---|---|---|---|---|---|
Before | After | Before | After | Before | After | Before | After | Before | After | |
NBt (\(\varepsilon_{t}\) < 0) | 2696 | 4080 | 724 | 675 | 6891 | 1515 | 5752 | 8884 | 11,370 | 13,350 |
NSt(\(\varepsilon_{t}\) > 0) | 3940 | 2994 | 849 | 763 | 4544 | 992 | 5860 | 9219 | 12,050 | 18,761 |
NTt | 14,500 | 15,294 | 3554 | 3445 | 24,707 | 4987 | 24,663 | 39,244 | 48,893 | 66,830 |
DPINt | 0.458 | 0.463 | 0.443 | 0.417 | 0.463 | 0.503 | 0.471 | 0.461 | 0.479 | 0.480 |
∆DPINt |  +  | – | +  | – |  +  |  |  |  |  |  |