Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model

Table 1

The statistical characteristics of the CSI 300 index futures’ returns.

Date	Number	Average	Std. error	Median	Min	Max	Range	Skewness	Kurtosis	SE
D02	29568	0	0.01	0	−0.06	0.06	0.11	0.01	1.31	0
D03	30087	0	0.01	0	−0.06	0.06	0.13	0.04	1.90	0
D04	30256	0	0.01	0	−0.06	0.06	0.12	0.01	1.26	0
D05	30125	0	0.01	0	−0.05	0.07	0.12	0.06	1.72	0
D06	30449	0	0.01	0	−0.06	0.06	0.12	−0.16	2.13	0
D09	29895	0	0.01	0	−0.08	0.04	0.12	−0.03	2.13	0
D10	29615	0	0.01	0	−0.06	0.05	0.11	−0.01	1.22	0
D11	29964	0	0.01	0	−0.10	0.07	0.17	−0.01	2.42	0
D12	30716	0	0.01	0	−0.07	0.06	0.13	−0.03	1.45	0
D13	30302	0	0.01	0	−0.07	0.06	0.13	0.01	1.57	0

Date represents the study sample, and the data exclude the opening minutes, the closing minutes, and the turnover no change data.