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.
Outward foreign direct greenfield investments and firms predicted long-term stock volatility levels and connectedness. Evidence from China / Vagnani, Gianluca; Jinhuan, Tian; Dong, Yan. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - Published online 22 September 2023(2023), pp. 1-7.
Outward foreign direct greenfield investments and firms predicted long-term stock volatility levels and connectedness. Evidence from China
Gianluca Vagnani
;
2023
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.| File | Dimensione | Formato | |
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