Collectivism and commonality in liquidity

Mohsen Saad and Anis Samet

Journal of Business Research, 2020, vol. 116, issue C, 137-162

Abstract: In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in collectivist countries, after controlling for supply-side and demand-side determinants of liquidity as well as a host of country- and firm-level variables. The documented relation is shown to be moderated by country-level variables such as media penetration, trust, and rule of law. The impact of collectivism is statistically and economically significant. Our findings are robust to: alternative proxies for collectivism, sample composition, endogeneity concerns, and alternative estimation methodologies. We finally observe that collectivism has a stronger influence on co-movements between stock and market liquidity when both are simultaneously decreasing.

Keywords: Culture; Collectivism; Commonality in liquidity; International markets (search for similar items in EconPapers)
JEL-codes: G02 G12 G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:116:y:2020:i:c:p:137-162

DOI: 10.1016/j.jbusres.2020.04.012

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