Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets
Table 3
Univariate and encompassing regressions of volatility series.
RVOL
(1)
(2)
(3)
(4)
(5)
(6)
(7)
Panel A: Daily
HVOL
0.4553
0.1431
0.2654
0.1380
(17.8532)
(3.9476)
(7.9795)
(3.7794)
BSVOL
0.4811
0.3837
0.4263
0.3480
(21.5963)
(11.5742)
(10.4815)
(7.6585)
MFVOL
0.6087
0.3752
0.0944
0.0674
(18.1703)
(8.5550)
(1.6105)
(1.1482)
α
0.0887
0.0757
0.0452
0.0700
0.0471
0.0674
0.0643
(19.9828)
(17.6231)
(6.7911)
(15.5272)
(7.2395)
(10.0266)
(9.5412)
Adj. R2
0.2072
0.2768
0.2130
0.2854
0.2516
0.2777
0.2856
Obs.
1217
1217
1217
1217
1217
1217
1217
Panel B: Monthly
HVOL
0.5587
0.2331
0.3894
0.2109
(4.2967)
(1.0385)
(2.5059)
(0.9427)
BSVOL
0.5311
0.3579
0.3930
0.2435
(4.5979)
(1.7646)
(2.5794)
(1.1065)
MFVOL
0.7903
0.4495
0.3538
0.3353
(3.9020)
(1.8978)
(1.3768)
(1.2996)
α
0.0761
0.0674
0.0209
0.0619
0.0205
0.0279
0.0250
(3.3788)
(2.9382)
(0.5463)
(2.6331)
(0.5592)
(0.7611)
(0.6795)
Adj. R2
0.2284
0.2545
0.1943
0.2555
0.2615
0.2658
0.2644
Obs.
60
60
60
60
60
60
60
Note. The test statistics are reported with t-values in parentheses. ,, and indicate that the coefficient of regression is significant at the 10%, 5%, and 1% level, respectively.
