for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across … on the country-level stock market idiosyncratic volatility. We find that that the effect of developed … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …

affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect … local volatility by changing its persistence over time. The economic importance of each channel is measured by its … contribution to the variation of local volatility. We find that the volatility persistence channel is far more important than the …

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence …