Author(s)

Zhentao Liu¹, Gilbert V. Nartea², Ji Wu^3*

¹Institute for Financial & Accounting Studies, Xiamen University, Fujian, China.
²Department of Economics and Finance, UC Business School, University of Canterbury, Christchurch, New Zealand.
³School of Economics and Finance, Massey Business School, Massey University—Albany Campus, Auckland, New Zealand.

We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in France. We find that both aggregate idiosyncratic and market volatility exhibit regime switching behavior similar to that in the U.S. and other developed countries. Furthermore, we find a marginally significant negative IVOL effect in the French stock market. We add new evidence to the mounting results questioning the ubiquity of the IVOL effect which highlights the importance of country verification of so called anomalies in the US, even in developed markets.

Idiosyncratic Volatility, Regime Switch Model, Asset Pricing, France

Liu, Z. , Nartea, G. and Wu, J. (2018) Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market. Theoretical Economics Letters, 8, 79-97. doi: 10.4236/tel.2018.81005.