The Study of Idiosyncratic Volatility Anomalies and Reasons in China——To Explain the Puzzle of Idiosyncratic Volatility Based on Econometric Methods

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 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.