Abstract
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.
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