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