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Dimensions of national culture and R2 around the world

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  • Fetherolf, Raylin
  • Lovelace, Kelley Bergsma

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.

Suggested Citation

  • Fetherolf, Raylin & Lovelace, Kelley Bergsma, 2023. "Dimensions of national culture and R2 around the world," Journal of Banking & Finance, Elsevier, vol. 154(C).
    • Handle: RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001541
    DOI: 10.1016/j.jbankfin.2023.106949
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    More about this item

    Keywords

    Culture; R2; Stock price synchronicity;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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