Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market
In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm-specific news announcements in the Chinese stock market following. The results show that the pricing of non-news idiosyncratic volatility is more strongly negative compared to news idiosync...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2127489 |
| _version_ | 1798001384621080576 |
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| author | Van Hai Hoang |
| author_facet | Van Hai Hoang |
| author_sort | Van Hai Hoang |
| collection | DOAJ |
| description | In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm-specific news announcements in the Chinese stock market following. The results show that the pricing of non-news idiosyncratic volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after controlling for several well-known variables, such as market beta, firm size, book-to-market, momentum, liquidity, and maximum return. However, after adjusting by additional macroeconomic variables, the Chinese four-factor model and the salience trading volume factor, the average returns on zero-investment IVOL and non-news IVOL portfolios turn out to be insignificant, indicating that they may be one driver of the IVOL puzzle in the Chinese stock market. |
| first_indexed | 2024-04-11T11:35:22Z |
| format | Article |
| id | doaj.art-1089e781d5d749ceba7262733f51b007 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-04-11T11:35:22Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-1089e781d5d749ceba7262733f51b0072022-12-22T04:26:00ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2127489Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock marketVan Hai Hoang0University of Economics, The University of Danang, Danang, VietnamIn this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm-specific news announcements in the Chinese stock market following. The results show that the pricing of non-news idiosyncratic volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after controlling for several well-known variables, such as market beta, firm size, book-to-market, momentum, liquidity, and maximum return. However, after adjusting by additional macroeconomic variables, the Chinese four-factor model and the salience trading volume factor, the average returns on zero-investment IVOL and non-news IVOL portfolios turn out to be insignificant, indicating that they may be one driver of the IVOL puzzle in the Chinese stock market.https://www.tandfonline.com/doi/10.1080/23322039.2022.2127489idiosyncratic volatilitynews idiosyncratic volatilitynon-news idiosyncratic volatilityfirm-specific newsanomaliesChinese stock market |
| spellingShingle | Van Hai Hoang Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market Cogent Economics & Finance idiosyncratic volatility news idiosyncratic volatility non-news idiosyncratic volatility firm-specific news anomalies Chinese stock market |
| title | Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market |
| title_full | Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market |
| title_fullStr | Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market |
| title_full_unstemmed | Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market |
| title_short | Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market |
| title_sort | firm specific news and idiosyncratic volatility anomalies evidence from the chinese stock market |
| topic | idiosyncratic volatility news idiosyncratic volatility non-news idiosyncratic volatility firm-specific news anomalies Chinese stock market |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2127489 |
| work_keys_str_mv | AT vanhaihoang firmspecificnewsandidiosyncraticvolatilityanomaliesevidencefromthechinesestockmarket |