유라시아 국가의 법적･문화적 차이와 주식시장의 반응: 금융위기의 충격을 중심으로 = Effects of Legal and Cultural Differences on Stock Markets in Eurasian Countries: Focusing on the Impact of the Financial Crisis

다국어 초록 (Multilingual Abstract)

The financial crisis of September 2008 that occurred in United States leads to the collapse of the world’s financial markets. Global stock market indices experience a decline of about 8% on the day and suffered a decline of more than 30% rate of return over a period of about one year. In this study, we analyze how the such sudden market shock affects the stock markets of the other countries, through the legal and cultural differences. Legal systems of the world is largely divided into the English common law and the European civil law, thus differs from the legal and regulatory protection for investors. In addition, every country has its own cultural characteristics, according to Hofstede (2001) cultural characteristics can be divided in five aspects.
This study analyzes how the market have responded to the financial crisis using 28 countries with legal and cultural differences. Short-term market reaction to the shock is measured by cumulative return of the market index for three days after the event. In addition, we analyze the long-term recovery response which means that the market index return to the average level before the event. In addition, we control macroeconomic variables such as GNP and market capitalization, and also include investor protection index of La Porta et al. (2000) in the regression analysis.
The results of the study can be summarized as follows. First, the decline of market index to the shock in common law nations appeared to be less than the decline in civil law nations. The result also shows fast recovery days in common law markets. Second, the larger power distance index (PDI), the smaller in the short-term decline of market index. In the long-term, large PDI nations show the quick return to normal levels. Investors in high dependence on the government seem to expect their nation to play a positive role to overcome the shock and believe that to overcome the crisis and quickly return to normal levels. Third, the greater long-term oriented index (LTO), the more decline against market shock in the short-term. In the long run, however, investors seem to believe that the impact on the market can be easily recovered. Fourth, when the uncertainty avoidance index (UAI) is big, the stock market index recovered slowly to the level before. Investors in strong UAI nations seem not to believe easily that the shock is completely disappeared. Conversely, the short-term market response appeared to be smaller in strong UAI country. Fifth, although statistically insignificant, the market shock is big where the individualism index (IDV) is strong. However, we cannot obtain the consistent result in the long run. Because, in the more highly individualistic society, individual oneself is more responsible than people in collectivism society, we presume that the market reaction against the shock is larger in strong IDV markets. Finally, masculinity index (MAS) has failed to show any significant results from market response.

참고문헌 (Reference)

• 1 Jensen, M., "Theory of the Firm : Managerial Behavior, Agency Costs, and Ownership Structure" 3 : 305-360, 1976
• 2 von Neumann, J., "Theory of Games and Economic Behavior" Princeton Press 1944
• 3 Bennedsen, M., "The Balance of Power in closely held Corporations" 58 : 113-139, 2000
• 4 Kahneman, D., "Prospect Theory : An Analysis of Decision under Risk" 47 (47): 263-292, 1979
• 5 La Porta, "Legal Determinants of External Finance" 52 (52): 1131-1150, 1997
• 6 La Porta, "Law and Finance" 106 : 1113-1155, 1998
• 7 La Porta, "Investor Protection and Corporate Governance" 58 (58): 1-25, 2000
• 8 Chui, A. C. W., "Individualism and Momentum around the World" 65 (65): 361-392, 2010
• 9 Grinblatt, "How Distance, Language, and Culture Influence Stockholdings and Trades" 56 (56): 1053-1073, 2001
• 10 Beck, T., "Finance and the Sources of Growth" 58 : 261-300, 2000
• 11 King, R., "Finance and Growth : Schumpeter might be Right" 108 : 717-738, 1993
• 12 Beckmann, "Does Culture influence Asset Managers’ Views and Behavior?" 624-643, 2008
• 13 Hofstede, G., "Culture’s Consequences: Comparing Values, Behaviors, Institutions and Organizations Across Nations" Sage Publication 2001
• 14 Stulz, R., "Culture, Openness, and Finance" 70 (70): 313-349, 2003
• 15 Statman, M., "Countries and Culture in Behavioral Finance" CFA Institute 2008
• 16 Harris, M., "Corporate Governance : Voting Rights and Majority Rules" 20 : 203-236, 1988