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National culture, population age, and other country factors in volume–price volatility relationship

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  • Hua, Wei
  • Wei, Peihwang

Abstract

This research investigates the relationship between market-wide trading activity and price volatility in 36 countries for the sample years of 1996 to 2012. Based on the concept of noise trading, we expect the volume–volatility relation to be stronger in countries with higher degrees of individualism and masculinity, lower degrees of power distance, younger populations, less-developed markets, and lower transparency. Empirical results largely support our expectations concerning national culture and population age. As for the extent of market development and transparency, however, the supporting evidence is fairly weak.

Suggested Citation

  • Hua, Wei & Wei, Peihwang, 2017. "National culture, population age, and other country factors in volume–price volatility relationship," Global Finance Journal, Elsevier, vol. 32(C), pages 83-96.
    • Handle: RePEc:eee:glofin:v:32:y:2017:i:c:p:83-96
    DOI: 10.1016/j.gfj.2015.12.003
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    More about this item

    Keywords

    Volume–price volatility relation; National culture; Population age;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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