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Does Idiosyncratic Volatility Matter in Emerging Markets? Evidence From China
1 of 49 checkable references need attention · checked 2026-07-25
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References needing attention
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The 48 checked references that resolve
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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The 6 references without a DOI — listed, not checked
no DOI — not checkedref35
no DOI — not checkedEquilibrium in an imperfect market: A constraint on the number of securities in a portfolio
no DOI — not checkedref40
no DOI — not checkedFinancial liberalization and the H-A price differential in the Chinese stock markets: Effects of the split-share structure reform and QFII and QDII schemes
no DOI — not checkedref48
no DOI — not checkedWe also estimate each portfolio's alpha (? coefficient) from the FF3-factor model (Eq. 1) estimated using the full sample of monthly value-or equal-weighted returns for each portfolio. The last low of each panel presents the difference in monthly returns and differences in alpha between the high and low IVOL portfolios. T-statistics are
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