文献类型：期刊文献

英文题名：Can Limits to Arbitrage Explain Stock Price Idiosyncratic Volatility Premium Puzzle in China's A-Share Market?

作者：Chen, Xiaohui[1];Ye, Jianhua[2]

第一作者：Chen, Xiaohui

通讯作者：Ye, JH[1]

机构：[1]Xian Univ Technol, Sch Econ & Management, Xian 710054, Peoples R China;[2]Henan Univ Econ & Law, Sch Accounting, Zhengzhou 450046, Peoples R China

第一机构：Xian Univ Technol, Sch Econ & Management, Xian 710054, Peoples R China

通讯机构：[1]corresponding author), Henan Univ Econ & Law, Sch Accounting, Zhengzhou 450046, Peoples R China.|[104845]河南财经政法大学会计学院;[10484]河南财经政法大学;

年份：2021

卷号：2021

外文期刊名：DISCRETE DYNAMICS IN NATURE AND SOCIETY

收录：;Scopus(收录号：2-s2.0-85111526475);WOS:【SCI-EXPANDED(收录号:WOS:000680511500001)】；

基金：Jianhua Ye acknowledges the financial support from Young Key University Teachers Training Program of Henan Province (no. 2018GGJS070), Program for Science & Technology Innovation Talents in Universities of Henan Province (no. 2021-CX-003), Project of National Science Foundation of China (no. 71602049), Soft Science Research Program of Henan Province (no. 212400410504), Key Scientific Research Program in Universities of Henan Province (no. 21A630005), and Young Talents Fund of HUEL.

语种：英文

摘要：Investigating the existence and causes of idiosyncratic volatility premium puzzle in developing stock market can enrich the research on this asset pricing puzzle. To investigate the existence and whether limits to arbitrage in China's A-share market can explain the idiosyncratic volatility premium puzzle, this paper uses listed stocks in China's A-share market from 2002 to 2019 as a sample. We calculate three individual measures and one comprehensive measure of limits to arbitrage based on Chinese specific regulations. After that, we conduct univariate portfolios analysis, regression analysis, and bivariate portfolios analysis to obtain evidence. We prove that idiosyncratic volatility premium puzzle exists in China's A-share market and is robust and that limits to arbitrage in this market can partly explain this asset pricing puzzle. This paper enriches research on asset pricing anomaly and can help us evaluate the effect of China's A-share market reform.