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