国家保密文化与股价同步性：跨国证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2024-11-15 DOI:10.1016/j.jbankfin.2024.107341

Chrysovalantis Gaganis , George N. Leledakis , Fotios Pasiouras , Emmanouil G. Pyrgiotakis

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引用次数: 0

摘要

本研究利用 1990 年至 2019 年期间 49 个国家的大量公司样本，调查了保密文化与股票价格协整性之间的关系。我们发现，保密社会的股票价格比保密程度较低的社会的股票价格具有更高的协整性。出现这种较高的相关性主要是因为特异波动性较低。我们将这一发现归因于神秘社会的文化偏见，这种偏见阻碍了投资者的信息搜寻行为。为了支持这些猜想，我们提供了这些社会中均值反转更强（知情交易更少）的证据。当我们考虑到企业流动性和信息不对称方面的跨国差异，并控制现金流的不确定性时，我们的结果依然存在。最后，保密国家内幕交易法的实施与较少的私下知情交易和较低的特异性波动有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

This study investigates the relationship between the culture of secrecy and stock price comovement using a large sample of firms in 49 countries over the period 1990 to 2019. We find that stock prices in secretive societies comove more than stock prices in less secretive societies. This higher comovement occurs primarily because idiosyncratic volatility is lower. We attribute this finding to cultural biases in secretive societies which deter investors’ information-seeking behavior. To support these conjectures, we provide evidence of stronger mean reversals (less informed trading) in these societies. Our results persist when we account for cross-country differences in firms’ liquidity and information asymmetry, and when we control for cash flow uncertainty. Finally, the enforcement of insider trading laws in secretive countries is associated with less privately informed trading and lower idiosyncratic volatility.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.