Dimensions of national culture and R2 around the world

Raylin Fetherolf and Kelley Bergsma Lovelace

Journal of Banking & Finance, 2023, vol. 154, issue C

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.

Keywords: Culture; R2; Stock price synchronicity (search for similar items in EconPapers)
JEL-codes: G02 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001541

DOI: 10.1016/j.jbankfin.2023.106949

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