Cross‐country variations in volume‐price variability relationship in Asia
Abstract
Purpose
The purpose of this paper is to investigate the effects of country factors, particularly the cultural factors, on the dynamic relation between market‐wide trading activity and price variability in nine Asian countries.
Design/methodology/approach
The paper utilises VAR, impulse response function, and regression.
Findings
The results show that individualism and masculinity are positively related to volume‐variability relation; other country factors including information asymmetry, financial development, short sale restriction, and age distribution are also closely related to the volume‐variability relation. Specifically, the return‐variability relation is stronger in less financially‐developed countries with short‐sale constraints and high information asymmetry.
Originality/value
Although there is a large body of literature on volume‐variability relationship, cultural and other country factors have never been incorporated to account for such a relationship.
Keywords
Citation
Hua, W., Wang, R. and Wei, P. (2013), "Cross‐country variations in volume‐price variability relationship in Asia", Journal of Asia Business Studies, Vol. 7 No. 3, pp. 203-213. https://doi.org/10.1108/JABS-Jul-2012-0037
Publisher
:Emerald Group Publishing Limited
Copyright © 2013, Emerald Group Publishing Limited