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Table 2 Correlation Analysis on Stock Returns (rt), Stock Returns with Overnight Returns being included (rto), PMGt and PMLt

From: Timing the market: the economic value of price extremes

  Panel A. Monthly Index Data Panel B. Quarterly Index Data
r t o r t P MG t P ML t r t o r t P MG t P ML t
r t o 1.000 1.000
r t 0.997*** 1.000 0.999*** 1.000
P MG t 0.732*** 0.737*** 1.000 0.772*** 0.775*** 1.000
P ML t 0.802*** 0.802*** 0.187*** 1.000 0.831*** 0.830*** 0.290*** 1.000
  1. Note.***, **, * means respectively statistical significance at the level of 1%, 5% and 10%. We regress rto on rt, and the results are presented as follows.For monthly stock returns,
  2. rto = 4.16E ‐ 04 + 1.003rt + εtR2 = 0.994
  3. For quarterly stock returns,
  4. rto = 4.52E ‐ 04 + 0.999rt + εtR2 = 0.998