The Asymmetry Of Idiosyncratic Volatility In Chinese Capital Market

In the academic field of modern asset pricing theory,the relationship between risk and return has always been a focus topic.For China's stock market,due to many institutional constraints in China,such as the lack of a reasonable short-selling mechanism,as well as information asymmetry in the market,it is difficult for ordinary investors to hold fully dispersed investment portfolios or market portfolios.In this market environment,investment returns are not only linked to systemic risk,but also to the risk specific to the company,namely idiosyncratic risk.From this point of view,the research on the characteristic volatility of China's capital market has special theoretical value and practical significance.At the same time,the problem of misbehavior in the capital market is also a hot topic in academic research in recent years.Previous studies explored the asymmetry in the capital market from multiple perspectives,but at present there is still a lack of specific analysis on the asymmetry of idiosyncrasies volatility.Based on the above considerations,this paper studies the asymmetry of idiosyncratic volatility based on the cycle of bull-bear market.This paper begins by defining the bull and bear markets between 2006 and 2018.In the process of determining bull market and bear market,this paper uses H-P Filter and peak and trough method to determine four bull market and bear market intervals.Secondly,the measurement method of trait volatility was discussed in the sample cycle.The Fama-French five-factor model with the strongest interpretation was selected from the traditional capital asset pricing model and Fama-French factor model by GRS Test,and the trait volatility was extracted and measured by this model.Then,based on the two sample classification methods of individual stock and industry,this paper studies the asymmetry in the cycle of bull and bear market.On the analysis of the asymmetry of the bull market and bear market cycle,the paper will be divided into the Low IV group,Middle ? group and High ? group,and analyzes the bull bear market cycle asymmetry in a row,then under the same market situation,analyzes the classification of two kinds of samples in different time period of asymmetry.Based on the above studies,this paper finds the following main conclusions:(1)For the same sample assets,the trait volatility in the Bear market cycle is significantly higher than that in the Bull market cycle;(2)For the same sample assets,trait volatility has a stronger impact on expected returns in the Bull market cycle than in the Bear market cycle;(3)The qualitative impact of idiosyncratic volatility on asset returns is different in different industries,among which the idiosyncratic volatility of transportation,banking,food and beverage industries has a positive effect on expected returns in Bull market,but a negative effect in Bear market.;From the perspective of individual stocks and the industry,the above research results demonstrate that the idiosyncratic volatility has obvious asymmetry in bull market and bear market.The work of this paper enriches the research content of the characteristic volatility of the current capital market,and also provides some inspiration and reference for investors to make investment decisions.