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.

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