Complexity

Research Article

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

Table 9

Regressions of volatility risk premiums (OLS).


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

Panel A: Daily
VOLRP_ivix	1.8458
	(10.333)
VOLRP_bs		1.3993
		(8.0547)
VOLRP_mf			1.5587
			(9.4012)
LVOLRP_ivix				0.5747
				(9.1117)
LVOLRP_bs					0.3238
					(5.8536)
LVOLRP_mf						0.4788
						(8.4410)
α	0.0919	0.0574	0.1088	0.0957	0.0543	0.1083
	(10.5500)	(7.1682)	(10.8005)	(10.218)	(6.5934)	(10.2100)
Adj.R²	0.1870	0.1219	0.1596	0.1513	0.0674	0.1325
Obs.	461	461	461	461	461	461

Panel B: Monthly
VOLRP_ivix	1.3625
	(2.1280)
VOLRP_bs		1.2008
		(1.8297)
VOLRP_mf			1.3095
			(1.6368)
LVOLRP_ivix				0.4724
				(2.0132)
LVOLRP_bs					0.3566
					(1.6273)
LVOLRP_mf						0.3797
						(1.4793)
α	0.1154	0.0947	0.1321	0.1219	0.0938	0.1294
	(3.4109)	(3.0425)	(2.9790)	(3.3532)	(2.9599)	(2.8283)
Adj.R²	0.1382	0.0964	0.0709	0.1219	0.0697	0.0512
Obs.	23	23	23	23	23	23

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.