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论文类型：会议论文

发表时间：2013-01-01

收录刊物：CPCI-SSH

页面范围：776-782

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

摘要：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.