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

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.