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National culture effects on stock market volatility level

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  • Wei-han Liu

    (Southern University of Science and Technology)

Abstract

Hofstede’s six measures of national culture (Hofstede in Culture’s consequence. Sage Publications, New York, 1980; Bond and Hofstede in Organ Dyn 16(4):4–21, 1988; Hofstede et al. in Cultures and organizations: software of the mind, 3rd edn. McGraw-Hill, New York, 2010) are applied to study the implied volatility levels in 15 international major equity markets. The cross-sectional analysis, based on the Generalized Additive Model, confirms that all the six measures play an intuitive role in explaining the volatility levels in the respective equity markets. This study confirms the significant long-term role of national culture. The outcomes contribute to provide the specific intuitive patterns of the six measures in explaining the implied volatility levels in the international equity markets.

Suggested Citation

  • Wei-han Liu, 2019. "National culture effects on stock market volatility level," Empirical Economics, Springer, vol. 57(4), pages 1229-1253, October.
    • Handle: RePEc:spr:empeco:v:57:y:2019:i:4:d:10.1007_s00181-018-1502-z
    DOI: 10.1007/s00181-018-1502-z
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    More about this item

    Keywords

    National culture; Hofstede; Volatility index; Generalized additive model;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification

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