Research on Firm-Specific Return Volatility of A-Share Market

Based on the data of 786 companies listed on A-share market during 2001 to 2009, this paper studies firm-specific return volatility. It's found that the absolute level of firm-specific volatility is rising, while the weight of firm-specific volatility is decreasing, which implies declining information efficiency of the market. Furthermore, firm's product market power could reduce firm-specific volatility significantly. It means the more and more increased competition in product market reduces stock market efficiency. Also, the firm-specific volatility is found to be negatively correlated with the efforts and speed of non-tradable share reform. And the impact of cash dividend policy is positive but not obvious, which may result from the fact that firms pay too little to shareholders in A-share market