contract

intraday effect period

coefficient

p

contract

intraday effect period

coefficient

p

IC1705

9:35 - 9:40

−0.09922

0.00672

IC1706

9:30 - 9:35

0.07836

0.046875

10:05 - 10:10

−0.09322

0.008344

9:35 - 9:40

−0.11553

0.003324

13:20 - 13:25

−0.09174

0.012883

13:20 - 13:25

−0.07697

0.038694

13:55 - 14:00

0.072919

0.070689

10:05 - 10:10

−0.06285

0.077906

IC1709

9:30 - 9:35

−0.13929

0.018972

IC1712

9:55 - 10:00

−0.10723

0.044437

10:20 - 10:25

−0.06442

0.000138

10:30 - 10:35

0.103596

0.034577

10:40 - 10:45

−0.22498

0.004304

14:40 - 14:45

−0.09625

0.061231

10:45 - 10:50

−0.12455

0.034558

14:45 - 14:50

0.115593

0.043447

11:25 - 11:30

−0.12324

0.000179

13:30 - 13:35

−0.09796

0