The nexus among maxing out effect and idiosyncratic volatility premium puzzle in China’s A Share Market under the background of eco-innovation and sustainability

Xiaohui Chen, Jianhua Ye, Jinshuai Zhi, Han Yan, Hao Meng, Tingting Zhang and Yanjia Du

Economic Research-Ekonomska Istraživanja, 2023, vol. 36, issue 3, 2186911

Abstract: The paper investigates whether eco-innovation, sustainability, and asset pricing effect of maximum daily return (maxing out effect), truly and steadily exists in A share market of China and the nexus among maxing out effect and idiosyncratic volatility in China’s A Share Market. Regression analyses were conducted using the data of listed companies in China’s A share market from July 1993 to May 2021. The empirical results show that the maxing out effect, eco-innovation and sustainability steadily exists in a sample country. In practice, this research help to improve asset pricing efficiency, provide high-quality materials for investor education, guide arbitrage trading activities, and improve resource allocation efficiency in the stock market.

Date: 2023
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DOI: 10.1080/1331677X.2023.2186911

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