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National culture of secrecy and stock price synchronicity: Cross-country evidence

Chrysovalantis Gaganis (), George Leledakis (), Fotios Pasiouras and Emmanouil Pyrgiotakis

MPRA Paper from University Library of Munich, Germany

Abstract: Stock price synchronicity has been associated with various market outcomes like the return-sentiment relations, stock liquidity, and asset pricing models. Therefore, researchers have devoted a lot of time in revealing the underlying factors that drive stock price synchronicity. Using a sample of 49 countries over the period 1990 to 2019 we find a robust association between higher cultural secretiveness and stock price synchronicity. Our results suggest that a deep-rooted country characteristic like the culture of secrecy can diminish the information environment of stock markets. The results are robust to the use of various control variables suggested in earlier studies and alternative regression techniques, including ones that address endogeneity concerns.

Keywords: Culture; Information and market efficiency; Stock price synchronicity (search for similar items in EconPapers)
JEL-codes: G14 G39 (search for similar items in EconPapers)
Date: 2021-01-19
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