Culture and R2

被引：242

作者：

Eun, Cheol S. ^{[1
]}

Wang, Lingling ^{[2
]}

Xiao, Steven C. ^{[3
,4
]}

机构：

[1] Georgia Inst Technol, Scheller Coll Business, Atlanta, GA 30332 USA

[2] Tulane Univ, AB Freeman Sch Business, New Orleans, LA 70118 USA

[3] Rutgers State Univ, Rutgers Business Sch, Newark, NJ 08854 USA

[4] Rutgers State Univ, Rutgers Business Sch, New Brunswick, NJ 08854 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 115卷 / 02期

关键词：

Culture; R-2; Tightness; Individualism; Openness; INVESTOR SENTIMENT; MARKETS; RETURN; PRICE; FIRM; INFORMATION; PSYCHOLOGY; DIFFUSION; OPENNESS; WORLD;

D O I：

10.1016/j.jfineco.2014.09.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：283 / 303

页数：21

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