  There is convincing evidence showing that the probability distributions of
stock returns in mature markets exhibit power-law tails and both the positive
and negative tails conform to the inverse cubic law. It supports the
possibility that the tail exponents are universal at least for mature markets
in the sense that they do not depend on stock market, industry sector, and
market capitalization. We investigate the distributions of one-minute intraday
returns of all the A-share stocks traded in the Chinese stock market, which is
the largest emerging market in the world. We find that the returns can be well
fitted by the $q$-Gaussian distribution and the tails have power-law
relaxations with the exponents fluctuating around $\alpha=3$ and being well
outside the L\'evy stable regime for individual stocks. We provide
statistically significant evidence showing that the exponents logarithmically
decrease with the turnover rate and increase with the market capitalization,
and find that the market capitalization has a greater impact on the tail
exponent than the turnover rate. Our findings indicate that the intraday return
distributions are not universal in emerging stock markets.
