Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?

Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?
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Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?
Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?
FazД±l and Ipek (2013) noted that idiosyncratic volatility is the most significant aspect of total volatility and does occur in different markets in different periods. Aziz, Ansari, and McMillan (2017) also highlighted that there is a positive relationship between idiosyncratic volatility with the expected returns on investments. However, the relationship is usually determined by the market and period when investments are made. The effects of idiosyncratic volatility exist, and numerous investors with massive assets of individual stocks usually fail to diversify in order to eliminate risks. Goyal and Santa-Clara (2001) noted that there is a relation between market returns and the total stock risk. As noted earlier, size and idiosyncratic volatility is an aspect of the total risk, which affirms its existence, and investors can quickly diversify the “idiosyncratic risk away” (Goyal & Santa-Clara, 2001).
The size and idiosyncratic volatility are usually unobservable and depend on the model ...