A股市场的异质波动率之谜是否已被充分解释?

Has idiosyncratic volatility puzzle been fully explained in China's A-share market

已有文献尝试从不同角度解释A股市场的"异质波动率之谜",但尚未有研究探讨该异象能否被现有解释变量充分解释,并量化评价各变量的解释力度。本文在总结过往文献对"异质波动率之谜"的解释变量的基础上,应用"Hou&Loh拆解方法"对该问题进行拆解,(1)整体上,现有解释变量不能充分解释"异质波动率之谜";(2)结构上,与彩票型偏好相关的解释变量具有最强的解释力度,与流动性相关的变量、非预期性换手率也具有较好的解释度,但与行为偏差相关变量的解释力度非常低。

Several papers have been written trying to explain idiosyncratic volatility puzzle in China＇s A-share market from different economic mechanisms. However, there has been no comprehensive examination about whether the puzzle has been fully explained and to evaluate those candidate explanations of the puzzle. Using HouLoh decomposition methodology, we try to quantify the fraction of the puzzle that is explained by each candidate variable after controlling for other competing explanations, and find that,（1） all existing explanations account for nearly 75% of the puzzle,（2） explanations based on lottery preferences, liquidity and heterogeneous beliefs have strong explanatory power, while explanatory power of those based on behavior bias is weak.