To explore the mystery of the idiosyncratic volatility of the A-share market

Zhuoling Ran; Xuehao Huang; Mingjia Xie

doi:10.1051/e3sconf/202123503025

All issues

Volume 235 (2021)

E3S Web Conf., 235 (2021) 03025

References

Open Access

Issue		E3S Web Conf. Volume 235, 2021 2020 International Conference on New Energy Technology and Industrial Development (NETID 2020)


Article Number		03025
Number of page(s)		6
Section		Analysis on the Development of Intelligent Supply Chain and Internet Digital Industrialization
DOI		https://doi.org/10.1051/e3sconf/202123503025
Published online		03 February 2021

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[1] Robert C. Merton, “A Simple Model of Capital Market Equilibrium with Incomplete Information”, Journal of Finance. vol. 42, no. 3, pp. 483-510, July 1987. [Google Scholar]

[2] Ang A, Hodrick R J, Xing Y, Zhang X, “High idiosyncratic volatility and low returns: International and further U.S. evidence”, Journal of Financial Economics. June 2007. [Google Scholar]

[3] Wang Chunfeng, Yao Shouyu, Fang Zhenming, “Fattailed Distribution of Stock Returns, Idiosyncratic Volatility, and Stock Price Behavior”, Systems Engineering. vol. 35, no. 12, pp. 1-14, December 2017. [Google Scholar]

[4] Xiong Xiong, Meng Yongqiang, Li Ran, Shen Dehua, “Idiosyncratic volatility and stock returns—— Research based on Fama-French five-factor model”, Journal of Systems Science and Mathematical Sciences. vol. 37, no. 07, pp. 1595-1604, July 2017. [Google Scholar]

[5] Fu F, “Idiosyncratic risk and the cross section of expected stock returns”, Cfa Digest. vol. 91, no. 1, pp. 24-37, 2009. [Google Scholar]

[6] Chua Choong Tze, Goh Choo Yong, Jeremy Zhang, Zhe (Joe), “Idiosyncratic Volatility Matters for the Cross-Section of Returns— in More Ways Than One!”, China International Conference in Finance. July 2006. [Google Scholar]

[7] Shi Yongdong, Li Fengyu, Yang Yunpeng, “An Empirical Study for Dynamic Relationship between Stock Returns and Idiosyncratic Volatility”, Review of Investment Studies. vol. 31, no. 9, pp. 6-19, September 2012. [Google Scholar]

[8] Wang Mu-Shun, “Idiosyncratic risk and expected returns: a panel data model with random effects”, Applied Financial Economics. vol. 23, no. 10, pp. 869-880, March 2013. [Google Scholar]

[9] Luo Dengyue, “Idiosyncratic volatility and crosssectional returns: a test based on the Fama-French stock portfolio”, Statistics & Decision. no. 4, pp. 167-169, February 2013. [Google Scholar]

[10] Xiong Wei, Chen Liangnan, “Idiosyncratic Volatility, Stock Return and Investor Sentiment”, Journal of Management Science. vol. 28, no. 05, pp. 106-115, September 2015. [Google Scholar]

[11] Zuo Haomiao, Zhen ming, Zhang Yi, “Idiosyncratic volatility and cross-sectional returns: an explanation of the “idiosyncratic volatility puzzle” in Chinese stock markets ”, The Journal of World Economy. vol. 34, no. 5, pp. 117-135, May 2011. [Google Scholar]