Does national culture affect the intensity of volatility linkages in international equity markets?

Rothonis, S; Tran, D; Wu, E

Does national culture affect the intensity of volatility linkages in international equity markets?

Rothonis, S Tran, D Wu, E

Permalink

Publication Type:: Journal Article
Citation:: Research in International Business and Finance, 2016, 36 pp. 85 - 95
Issue Date:: 2016-01-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download Accepted Manuscript VersionAdobe PDF (237.58 kB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Rothonis, S	en_US
dc.contributor.author	Tran, D	en_US
dc.contributor.author	Wu, E https://orcid.org/0000-0003-3937-8660	en_US
dc.date.available	2020-05-25T19:13:21Z
dc.date.issued	2016-01-01	en_US
dc.identifier.citation	Research in International Business and Finance, 2016, 36 pp. 85 - 95	en_US
dc.identifier.issn	0275-5319	en_US
dc.identifier.uri	http://hdl.handle.net/10453/40977
dc.description.abstract	© 2015 Elsevier B.V. We investigate whether cultural proximity can intensify volatility linkages across international equity markets. Using daily data on national stock market indices for a sample of 49 developed and developing countries, we find that our cultural distance measure is inversely related to the strength in return volatility linkages between country pairs. We also find evidence that national culture is particularly important when there is a wider common investor base between two markets with greater bilateral portfolio investments. Furthermore, we reveal that when one market within a country pair is relatively less open than another market in terms of their foreign exchange trading activity then the cultural distance between them will further weaken volatility linkages. Our results suggest that market participants with similar cultural backgrounds respond to and impound information into equity prices in a similar fashion and this works to intensify volatility linkages around the world.	en_US
dc.relation.ispartof	Research in International Business and Finance	en_US
dc.relation.isbasedon	10.1016/j.ribaf.2015.09.005	en_US
dc.subject.classification	Finance	en_US
dc.title	Does national culture affect the intensity of volatility linkages in international equity markets?	en_US
dc.type	Journal Article
utslib.citation.volume	36	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	36	en_US

Abstract:

© 2015 Elsevier B.V. We investigate whether cultural proximity can intensify volatility linkages across international equity markets. Using daily data on national stock market indices for a sample of 49 developed and developing countries, we find that our cultural distance measure is inversely related to the strength in return volatility linkages between country pairs. We also find evidence that national culture is particularly important when there is a wider common investor base between two markets with greater bilateral portfolio investments. Furthermore, we reveal that when one market within a country pair is relatively less open than another market in terms of their foreign exchange trading activity then the cultural distance between them will further weaken volatility linkages. Our results suggest that market participants with similar cultural backgrounds respond to and impound information into equity prices in a similar fashion and this works to intensify volatility linkages around the world.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/40977