Does Cultural Distance Matter in International Stock Market Comovement? Evidence from Emerging Economies Around the World
Lancaster University Management School
Brian M. Lucey
Trinity College, Dublin - School of Business; University of Dublin - Institute for International Integration Studies (IIIS); Glasgow Caledonian University - Division of Accounting & Finance; University of Ljubljana - Faculty of Economics
November 11, 2009
Prior research suggests an inverse relationship between geographic distance and financial market linkages. In this paper, we examine whether and how cultural distance between countries mitigates this finding. We find that country-pairs exhibit higher linkages if they have smaller cultural distance. The result remains significant to alternative measures of linkage. Finally, the cultural effect seems to be more pronounced for active trading country-pairs than thin-trading country-pairs.
Number of Pages in PDF File: 29
Keywords: Emerging markets, International stock market comovement, Cultural distance
JEL Classification: D81, G15, Z12working papers series
Date posted: November 12, 2009
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