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

Table 8

The R-squared of model (8) estimated in March 2019.

Time	R-squared
9:30–10:00	0.180138511
10:00–10:30	0.185777441
10:30–11:00	0.175824568
11:00–11:30	0.171979626
13:00–13:30	0.173095659
13:30–14:00	0.173196812
14:00–14:30	0.177265851
14:00–14:57	0.160464719

The values are nearly the same as those in July 2018.