Abstract
This paper uses various model dependent and model independent measures of idiosyncratic volatility and investigates features and patterns of idiosyncratic volatility in Malaysia. The results reveal that there is no discernible trend in idiosyncratic volatility. However, there is evidence of episodic-phenomenon. During recession and crisis periods, idiosyncratic volatility tends to be higher than in the other periods due to the high correlation between idiosyncratic volatility of firms in such periods. Small firms and low priced stocks appear to influence idiosyncratic volatility more than the large firms and high priced stocks. Market volatility and firm volatility may not predict economic growth.
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