Culture and R2

• 成果类型: Article
• 署名作者: Eun, Cheol S.; Wang, Lingling; Xiao, Steven C.
• 署名单位: University System of Georgia; Georgia Institute of Technology; Tulane University; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.09.003
• 发表日期: 2015
• 页码: 283-303
• 关键词: culture; R-2; Tightness; individualism; openness

摘要

Consistent with predictions from the psychology literature, we find that stock prices co-move more (less) in culturally tight (loose) and collectivistic (individualistic) countries. Culture influences stock price synchronicity by affecting correlations in investors' trading activities and a country's information environment. Both market-wide and firm-specific variations are lower in tighter cultures. Individualism is mostly associated with higher firm-specific variations. Trade and financial openness weakens the effect of domestic culture on stock price comovements. These results hold for various robustness checks. Our study suggests that culture is an important omitted variable in the literature that investigates cross-country differences in stock price comovements. (c) 2014 Elsevier B.V. All rights reserved.