Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market
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DOI: 10.1016/j.iref.2017.10.015
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- Cheema, Muhammad A. & Scrimgeour, Frank, 2019. "Oil prices and stock market anomalies," Energy Economics, Elsevier, vol. 83(C), pages 578-587.
- Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
- Liu, Hao & Chen, Yue & Wan, Wei & Zhang, Qun, 2021. "A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective," Economics Letters, Elsevier, vol. 206(C).
- Ali, Syed Riaz Mahmood & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Are idiosyncratic risk and extreme positive return priced in the Indian equity market?," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 530-545.
- Gui, Pingshu & Zhu, Yifeng, 2021. "Margin trading and stock idiosyncratic volatility: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 484-496.
- Bi, Jia & Gui, Pingshu & Zhu, Yifeng, 2022. "Large transactions and the MAX effect: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
- Yao, Shouyu & Wang, Chunfeng & Cui, Xin & Fang, Zhenming, 2019. "Idiosyncratic skewness, gambling preference, and cross-section of stock returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 464-483.
- Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
- Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
- Wan, Xiaoyuan & Zhang, Jiachen, 2024. "Systematic COVID risk, idiosyncratic COVID risk and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
- Wang, Zhuo & Wang, Ziyue & Wu, Ke, 2023. "The role of anchoring on investors’ gambling preference: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
- Muhammad A. Cheema & Gilbert V. Nartea & Yimei Man, 2020. "Maxing Out in China: Optimism or Attention?," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 961-971, December.
- Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
- Ali, Syed Riaz Mahmood & Ahmed, Shaker & Östermark, Ralf, 2020. "Extreme returns and the investor’s expectation for future volatility: Evidence from the Finnish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 260-269.
- Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
- Zhu, Zhaobo & Harrison, DavidM. & Seiler, MichaelJ., 2020. "Preference for lottery features in real estate investment trusts," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 599-613.
- Liu, Chang & Sun, Peng & Zhu, Dongming, 2023. "Lottery preference, short-sale constraint, and the salience effect: Evidence from China," Economic Modelling, Elsevier, vol. 125(C).
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More about this item
Keywords
Idiosyncratic volatility anomaly; Extreme returns; Investor behavioral biases; Limits to arbitrage; The Chinese stock market;All these keywords.
JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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