The Price Impact of Order Book Events from a Dimension of Time

Table 5

The R-squared of estimation in model (8).

Time	R-squared
9:30–10:00	0.205776
10:00–10:30	0.190855
10:30–11:00	0.167759
11:00–11:30	0.157325
13:00–13:30	0.156407
13:30–14:00	0.158184
14:00–14:30	0.158095
14:00–14:57	0.144615