Variables | CSI 300 LETFs | S&P 500 LETFs | ||||||||
2× | 3× | −1× | −2× | −3× | 2× | 3× | −1× | −2× | −3× | |
Panel A: 5 trading days | ||||||||||
R_index | 2.000*** | 3.000*** | −0.999*** | −1.998*** | −2.994*** | 1.996*** | 2.986*** | −1.001*** | −2.000*** | −2.994*** |
| (400.75) | (202.58) | (−193.17) | (−127.05) | (−93.94) | (307.21) | (160.35) | (−131.83) | (−83.32) | (−59.30) |
Constant | 0.013* | 0.039* | 0.012* | 0.037* | 0.072* | −0.017*** | −0.048*** | −0.018*** | −0.057*** | −0.117*** |
| (1.88) | (1.92) | (1.76) | (1.72) | (1.67) | (−2.99) | (−3.00) | (−2.91) | (−2.87) | (−2.84) |
R-squared | 0.999 | 0.996 | 0.996 | 0.991 | 0.984 | 0.998 | 0.994 | 0.993 | 0.983 | 0.970 |
Obs. | 3341 | 3341 | 3341 | 3341 | 3341 | 3461 | 3461 | 3461 | 3461 | 3461 |
Panel B: 22 trading days | ||||||||||
R_index | 2.043*** | 3.131*** | −0.957*** | −1.869*** | −2.733*** | 1.987*** | 2.939*** | −0.986*** | −1.926*** | −2.785*** |
| (149.86) | (74.41) | (−76.66) | (−51.44) | (−38.78) | (134.25) | (66.68) | (−69.25) | (−46.13) | (−33.89) |
Constant | 0.170*** | 0.539*** | 0.133** | 0.355** | 0.613* | −0.070** | −0.172* | −0.116*** | −0.400*** | −0.900*** |
| (2.86) | (2.98) | (2.34) | (2.10) | (1.84) | (−2.18) | (−1.85) | (−3.34) | (−3.76) | (−4.17) |
R-squared | 0.995 | 0.982 | 0.982 | 0.960 | 0.931 | 0.996 | 0.985 | 0.982 | 0.958 | 0.923 |
Obs. | 3325 | 3325 | 3325 | 3325 | 3325 | 3445 | 3445 | 3445 | 3445 | 3445 |
Panel C: 250 trading days | ||||||||||
R_index | 3.501*** | 9.604*** | −0.442*** | −0.685*** | −0.825*** | 2.004*** | 2.939*** | −0.860*** | −1.431*** | −1.632*** |
| (27.98) | (14.37) | (−14.29) | (−9.69) | (−7.47) | (69.03) | (34.60) | (−33.12) | (−20.89) | (−14.28) |
Constant | 0.671 | −3.707 | 2.115 | 5.253 | 6.349 | −0.256 | −0.016 | −1.806*** | −7.074*** | −16.484*** |
| (0.24) | (−0.31) | (1.47) | (1.37) | (0.97) | (−0.71) | (−0.02) | (−5.00) | (−7.23) | (−9.91) |
R-squared | 0.941 | 0.834 | 0.648 | 0.408 | 0.265 | 0.982 | 0.929 | 0.934 | 0.852 | 0.729 |
Obs. | 3108 | 3108 | 3108 | 3108 | 3108 | 3228 | 3228 | 3228 | 3228 | 3228 |