[Retracted] Can Limits to Arbitrage Explain Stock Price Idiosyncratic Volatility Premium Puzzle in China’s A-Share Market?

Table 1

Descriptive statistics and correlation coefficients of main characteristic variables.

Panel A: descriptive statistics of main characteristics of our sample
Var	Mean	Medi	Std	Q1	Q3	Min	Max	Skew	Kurt
ARi,t+1	−0.00	−0.01	0.10	−0.06	0.05	−1.68	1.22	0.82	4.82
Ri,t+1	0.01	−0.00	0.13	−0.07	0.08	−0.53	1.42	0.78	3.48
IVOLi,t	0.02	0.02	0.01	0.01	0.03	0.00	0.08	1.06	1.40
BMi,t	0.39	0.33	0.27	0.21	0.51	−6.36	5.43	0.64	18.82
lnMVi,t	21.99	22.04	1.26	21.23	22.78	17.46	28.17	−0.05	0.25
TURNi,t	45.49	34.22	38.33	18.83	59.89	0.41	397.90	2.09	6.90
MAXi,t	−0.16	−0.14	0.09	−0.20	−0.10	−0.51	0.50	−1.23	3.56
Panel B: correlation coefficients of main variables (up-right is Spearman, and down-left is Pearson)
Var	ARi,t+1	Ri,t+1	IVOLi,t	BMi,t	lnMVi,t	TURNi,t		MAXi,t
ARi,t+1	1.00	0.58	−0.09	0.04	−0.05	−0.08		0.03
Ri,t+1	0.63	1.00	−0.01	0.05	−0.04	0.01		0.01
IVOLi,t	−0.07	−0.01	1.00	−0.29	0.07	0.46		−0.53
BMi,t	0.02	0.03	−0.25	1.00	−0.07	−0.27		0.06
lnMVi,t	−0.03	−0.04	0.07	−0.02	1.00	0.00		0.02
TURNi,t	−0.05	0.01	0.41	−0.24	0.01	1.00		−0.41
MAXi,t	0.00	0.02	−0.52	0.06	0.01	−0.37		1.00

Note., Statistical significance at 5% and 1% levels, respectively.