To explore the mystery of the idiosyncratic volatility of the A-share market

Return and risk are inevitable topics in financial research. This paper explores the relationship between IVOL (idiosyncratic volatility) cross-sectional return (risk premium excess return) of Chinese A-share market. With monthly data 237 months from January 2001 to September 2019 Ashare Shanghai Shenzhen stock exchange, each by regressions is conducted through rolling window based on four factors model Carhart. Whether there a significant positive or negative combination analysis crosssection regression tested paper. The research shows that, after excluding influence crisis disaster, 2019, special volatility market under normal conditions, no so-called “mystery volatility”.