Hits:

Indexed by:会议论文

Date of Publication:2013-01-01

Included Journals:CPCI-SSH

Page Number:776-782

Key Words:rolling-monthly realized idiosyncratic volatility; cross-section of expected stock returns; long-run idiosyncratic volatility; short-run idiosyncratic volatility

Abstract:In this study, we first improve that the rolling-monthly realized idiosyncratic volatility as the measurement standard of the idiosyncratic volatility (IV). Moreover, that whether the IV anomalies exist in Chinese stock market is tested by the cross-sectional regression method. In terms of the H-P Filter method, IV is divided into long-term IV and short-term IV, thereby investigating the relationship of these two IVs and stock return respectively. Based on our analysis, the IV anomalies do exist in Chinese stock market. It is also found that the long-term IV is in proportion to cross-section of expected stock returns (CSESR), whereas the short-term IV is inversely proportion to CSESR. Therefore, IV and CSESR may have a positive or a negative correlation under the comprehensive effects of long-term IV and short-term TV, depending on which is dominant, resulting in a novel explanation for the "puzzle of idiosyncratic volatility" in Chinese stock market from an econometric perspective.