Outward foreign direct greenfield investments and firms predicted long-term stock volatility levels and connectedness. Evidence from China

Gianluca Vagnani, Jinhuan Tian and Yan Dong

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: The paper offers an initial effort to unfold the effect of outward foreign direct greenfield investments (OFDGIs) on firms' long-term stock return volatility levels and connectedness. Within a sample of Chinese firms, in a GARCH-MIDAS model, we offer evidence that OFDGIs investments will reduce firms' long-term stock return volatility. We also introduced a measure of firms' stock return volatility connectedness and studied OFDGIs' effect on firms' dependence on other firms' risks. Implications for theory and practice are discussed.

Keywords: Outward foreign direct greenfield investments; Firms' long-term volatility; GARCH-MIDAS; Volatility connectedness (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008772

DOI: 10.1016/j.frl.2023.104505

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