Financial Innovation

Table 9 The summary results of analyses for the different periods of the trading session

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

	All Day		Opening		Midday		Closing
	5-min	15-min	5-min	15-min	5-min	15-min	5-min	15-min
Volatility	+ + + + + + ^a	+ + + + + + ^a	+ + + + +	+ + + + +	+ + + + +	+ + + + +	+	–
Volume	+	+	+	+	+	+	−	−
Spread	−	−	+	+	−	−	−	−

“ + ” denotes an increase “−” shows a decrease comparing before and after the trading extension. Since we measured volatility in 5 different ways, each sign indicates a measure of volatility. “a” denotes a sign for ARMA-GARCH estimation

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