Research On The Idiosyncratic Risk In China's Stock Market

Since 2001, Campbell, Lettau, Malkiel and Xu spoke about idiosyncratic volatility of the stock sectional influence the importance of academic articles in 2001, after that growing Olympic Games hot engaged in about the research on idiosyncratic volatility risk and stock price effects.Some of the early foreign scholars of empirical studies found that trait volatility and stock returns does not exist relation, and then some scholars through improving the research model of adding more regressors study found that they are positive correlation, and some scholars' research result is that they are negatively related conclusions. Known as the traditional venture gains concept generally think with high yield of high-risk risk compensation, so if idiosyncratic volatility cannot pass through dispersive investment and be completely scattered off, the assumption precondition cannot achieve the situation that will produce risk premium, its and the relationship between stock returns shall also be positive correlation. And a large part of the scholars idiosyncratic volatility is obtained with stock section yields negative correlation conclusion, that contrary to traditional the relationship between risk and return, thus had a trait volatility vision problems. Then nations scholars in for domestic capital markets of empirical studies also found this vision, then explain this phenomenon is widespread, and the research found that the vision and select metric idiosyncratic volatility model is irrelevant, thus resulting in idiosyncratic volatility mysteries. Some overseas empirical studies the latest idiosyncratic volatility is classified as long-term qualities volatility and short-term volatility, and idiosyncratic respectively to study its stock section expected returns the influence, and for before some contradiction dispute made interpretation.Test results, we find that the stock market also exist idiosyncratic volatility and stock sectional is negatively related to the phenomenon, namely proof of China's stock market is also exist idiosyncratic volatility vision. Then, on the basis of the Chinese stock market data using genetic algorithm method, the characteristics of volatility classified as long-term and short-term idiosyncratic volatility idiosyncratic volatility and separately in cross-section regression method to both with the influence of stock sectional empirical analysis. The results found that long-term qualities volatility and stock sectional is proportional to the relationship between short-term idiosyncratic volatility and stock sectional inversely related idiosyncratic, therefore in the long-term and short-term volatility idiosyncratic volatility comprehensive action result under general fluctuation characteristics volatility and the relationship between stock section yields are also likely to may for negative, depending on the long-term qualities volatility and short-term idiosyncratic volatility who plays the role is larger, and the characteristics of Chinese stock market volatility making deeper mysteries of perfect explanation.Although some people in our country have studied about this, the innovation of this paper lies in:first, this paper is to adopt the rolling realized idiosyncratic volatility measure. Second, this article split the t idiosyncratic volatility into short and long component. This method hasn't been used in China,in this way we can not only theoretically the idiosyncratic volatility vision analysis shows but also can from the empirical results in a more accurate intuitive explains the interpretation of rationality, then the idiosyncratic volatility mystery made even more perfect explanation. However, this article also there are some deficiencies in join some risk variable factors, the model become less significant, we think that this may be due to the risk factors exist between autocorrelation relationship and mutual interference, it still needs include our further research and analysis, in order to use more perfect model to better analyses problems.