Stock Price Volatility Across Countries: The Role Of Information and Cultural Differences
Abstract
The primary purpose of this paper is to examine the impact of culture on stock market volatility. The dimensions of culture considered are values and linguistic structure. Other explanatory variables included in the model are characteristics of individual stock markets (age and market capitalization) and countries (per capita income and population). Partial least square regression is used to estimate the parameters of a comprehensive model using stock market volatility in 50 countries as the dependent variable. Our findings suggest that stock market volatility is influenced by both aspects of culture included in the study. While the linguistic influence was found to be direct, the influence of cultural values was found to be mediated by the extent of globalization of the countries.
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