The Study of Idiosyncratic Volatility Anomalies and Reasons in China--To Explain the Puzzle of Idiosyncratic Volatility Based on Econometric Methods
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 shortterm Ⅳ,depending on which is dominant,resulting in a novel explanation for the puzzle of idiosyncratic volatility in Chinese stock market from an econometric perspective.
rolling-monthly realized idiosyncratic volatility cross-section of expected stock returns long-run idiosyncratic volatility short-run idiosyncratic volatility
LI Zhuwei Ruibo Yang YIN Xiaoting LI Ming
Faculty of Management and Economics,Dalian University of Technology,Dalian,China,116024 Finance Limited Liability Company of China Development Bank,Beijing,China,100033
国际会议
大连
英文
776-782
2013-06-29（万方平台首次上网日期，不代表论文的发表时间）