The nexus among maxing out effect and idiosyncratic volatility premium puzzle in China’s A Share Market under the background of eco-innovation and sustainability
Bibliographic Data
| ID | 15068353 |
|---|---|
| Authors | Xiaohui Chen (0009-0001-7005-7542, Henan University of Engineering), Jianhua Ye (0000-0002-4742-5642, School of Accounting, Henan University of Economics and Law, corresponding author), Jinshuai Zhi (School of Accounting, Henan University of Economics and Law), Han Yan (0009-0005-6776-0682, School of Accounting, Henan University of Economics and Law), Hao Meng (0000-0001-6494-0825, School of Accounting, Henan University of Economics and Law), Tingting Zhang (0000-0001-9478-9564, School of Accounting, Henan University of Economics and Law), Yanjia Du (School of Accounting, Henan University of Economics and Law) |
| Year | 2023 |
| Volume | 36 |
| Issue | 3 |
| Publication date | 2023-12-25 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2023.2186911 |
| OpenAlex | W4361296883 |
| Language | EN |
| References cited | 34 |
The paper investigates whether eco-innovation, sustainability, and asset pricing effect of maximum daily return (maxing out effect), truly and steadily exists in A share market of China and the nexus among maxing out effect and idiosyncratic volatility in China’s A Share Market. Regression analyses were conducted using the data of listed companies in China’s A share market from July 1993 to May 2021. The empirical results show that the maxing out effect, eco-innovation and sustainability steadily exists in a sample country. In practice, this research help to improve asset pricing efficiency, provide high-quality materials for investor education, guide arbitrage trading activities, and improve resource allocation efficiency in the stock market
Business · Capital asset pricing model · China · Economics · Empirical evidence · Financial economics · Stock market · Sustainability · Energy, Environment, Economic Growth · Financial Markets and Investment Strategies · Market Dynamics and Volatility
| Citation velocity | historical |
|---|---|
| Highly cited | No |