Journal of Banking & Finance Vol. 154 2023
Dimensions of national culture and R2 around the world
Abstract
In a given country, a higher R2 suggests that stocks move more synchronously with other stocks. This study explores whether five dimensions of national culture are related to stock price synchronicity in developed countries across the globe. Our findings demonstrate that long-term orientation and uncertainty avoidance are positively related to R2, while individualism, masculinity, and power distance are negatively related to R2. Since a lower R2 could signal better incorporation of information into stock prices, our evidence has broader implications for the influence of culture on market efficiency around the world.
- DOI
- 10.1016/j.jbankfin.2023.106949
- Volume
- 154
- Pages
- 106949
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref