Complexity

Research Article

Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets

Table 5

Regressions of volatility risk premiums (OLS).


R^e_etf	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)

Panel A: Daily
VOLRP_bs	0.6774				0.3878
	(5.4675)				(6.7134)
VOLRP_mf		1.0556				0.4280
		(7.8941)				(6.7195)
LVOLRP_bs			0.3121				0.2034
			(5.8701)				(8.2740)
LVOLRP_mf				0.4059				0.1976
				(7.2662)				(7.5207)
R^e_mkt					0.9333	0.9261	0.9329	0.9278
					(66.3942)	(65.3133)	(67.0202)	(66.0076)
α	0.0255	0.0452	0.0267	0.0491	0.0378	0.0435	0.0395	0.0480
	(3.2448)	(5.3363)	(3.3990)	(5.4772)	(10.3104)	(10.9008)	(10.8730)	(11.4825)
Adj. R²	0.0232	0.0480	0.0268	0.0409	0.7889	0.7889	0.7928	0.7908
Obs.	1217	1217	1217	1217	1217	1217	1217	1217

Panel B: Monthly
VOLRP_bs	1.1529				0.4379
	(2.1685)				(1.6972)
VOLRP_mf		0.3540				0.1396
		(0.5947)				(0.4988)
LVOLRP_bs			0.5173				0.2293
			(2.1724)				(2.0107)
LVOLRP_mf				0.1500				0.0797
				(0.6003)				(0.6800)
R^e_mkt					0.9597	0.9806	0.9586	0.9805
					(14.1137)	(14.3593)	(14.2863)	(14.3924)
α	0.0384	0.0209	0.0423	0.0243	0.0433	0.0371	0.0465	0.0398
	(1.0713)	(0.5663)	(1.1597)	(0.6251)	(2.5352)	(2.1365)	(2.7050)	(2.1791)
Adj. R²	0.0590	0.0061	0.0593	0.0062	0.7870	0.7772	0.7910	0.7780
Obs.	60	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.