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The role of national culture in stock volatility: evidence from international stock markets

Author

Listed:
  • Wajeeha Baig
  • Zia-ur-Rehman Rao
  • Mahnoor Fatima
  • Muhammad Usman

Abstract

This research aims to examine the impact of national culture on the stock market volatility of international stock markets. By using the daily data from 50 international stock markets from 2011 to 2020, we have examined monthly stock market volatility through realised volatility (RV). We have checked the impact of Hofstede's six cultural dimensions, namely individualism, masculinity, uncertainty avoidance, long-term orientation, power distance, and indulgence on the stock market volatility of major world indices. To check whether national culture has an impact on volatility or not, different regression models were run. Finally, the findings of our study show that six cultural dimensions have different significant influences on the stock market volatility of international stock markets. The findings of this study can assist investors in determining the strategy for limiting their risk in an international diversification portfolio and is also useful to identify which market conditions are appropriate for investment.

Suggested Citation

  • Wajeeha Baig & Zia-ur-Rehman Rao & Mahnoor Fatima & Muhammad Usman, 2024. "The role of national culture in stock volatility: evidence from international stock markets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 31(1), pages 44-61.
    • Handle: RePEc:ids:gbusec:v:31:y:2024:i:1:p:44-61
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