Dimensions of National Culture and R2 around the World

Posted: 14 Aug 2023

Date Written: July 3, 2023

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

JEL Classification: G15, G02, G12

Suggested Citation

Fetherolf, Raylin and Bergsma Lovelace, Kelley, Dimensions of National Culture and R2 around the World (July 3, 2023). Journal of Banking and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=4537933

Raylin Fetherolf

Grenoble Ecole de Management ( email )

12 Rue Pierre Semard
Grenoble, Cedex 01 38000
France

Kelley Bergsma Lovelace (Contact Author)

Ohio University ( email )

1 Ohio University
Athens, OH OH 45701
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
198
PlumX Metrics