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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

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

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.

Suggested Citation

  • Xiaohui Chen & Jianhua Ye & Jinshuai Zhi & Han Yan & Hao Meng & Tingting Zhang & Yanjia Du, 2023. "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," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 36(3), pages 2186911-218, December.
    • Handle: RePEc:taf:reroxx:v:36:y:2023:i:3:p:2186911
    DOI: 10.1080/1331677X.2023.2186911
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