Table 2:
Statistical description of conditional correlation of market noises between spot and futures markets.
Correlation of market noises
Mean
Standard deviation
Maximum
Minimum
−0.3222
0.0987
0.0321
−0.7470
−0.3451
0.0960
−0.0291
−0.7596
−0.3704
0.0958
−0.0131
−0.7662
−0.4580
0.0937
−0.1914
−0.8179
−0.5369
0.0865
−0.2759
−0.8539