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

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  • Vagnani, Gianluca
  • Tian, Jinhuan
  • Dong, Yan

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.

Suggested Citation

  • Vagnani, Gianluca & Tian, Jinhuan & Dong, Yan, 2023. "Outward foreign direct greenfield investments and firms predicted long-term stock volatility levels and connectedness. Evidence from China," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008772
    DOI: 10.1016/j.frl.2023.104505
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    References listed on IDEAS

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