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Chinese New Media Stocks Liquidity Risk and Spillover Effect

EasyChair Preprint no. 9425

8 pagesDate: December 7, 2022


Since the beginning of the 21st century, China's new media industry has attracted more and more investors' attention with its rapid development. However, its stock market has consistently shown unstable performances in recent years. In this study, we explore the interconnections between new-media stocks by conducting liquidity risk and liquidity spillover analysis between individual stocks and markets. We find that the instability of China's new media stocks stems from the volatility of idiosyncratic risks and high systemic correlation across markets, which collectively contribute to higher liquidity risk spillover effects.

Keyphrases: liquidity risk, Liquidity Spillover Effects, New Media Stock, risk management

BibTeX entry
BibTeX does not have the right entry for preprints. This is a hack for producing the correct reference:
  author = {Yinuo Zhao and Yuxin Kang and Kun Guo},
  title = {Chinese New Media Stocks Liquidity Risk and Spillover Effect},
  howpublished = {EasyChair Preprint no. 9425},

  year = {EasyChair, 2022}}
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