Does idiosyncratic volatility matter in emerging markets? Evidence from China

Gilbert Nartea, Ji Wu and Zhentao Liu

Journal of International Financial Markets, Institutions and Money, 2013, vol. 27, issue C, 137-160

Abstract: We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is best characterized by an autoregressive process with regime shifts that coincide with structural market reforms. We also document evidence of a negative idiosyncratic volatility effect in China with anecdotal evidence suggesting that it could be driven by investor preference for high idiosyncratic volatility stocks.

Keywords: Idiosyncratic volatility; Regime-switching; Emerging markets; China (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:27:y:2013:i:c:p:137-160

DOI: 10.1016/j.intfin.2013.09.002

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