摘要
在以理性為基礎的新古典財務理論中，文化不扮演任何的角色，但行為財務學卻認為人的「非理性」層面對資產價格的影響不可忽視。過去行為財務學多從心理學所發現的個體行為偏誤去探討其對資產特性的影響，而鮮少從文化的集體行為角度去探討相關議題。本文以語言、宗教以及個人主義指數作為文化的代理變數，以全球40 國之股市為樣本，探討文化因子對市場效率性的影響。結果顯示以英語為主要語言、信仰新教，以及個人主義較高的國家，對短期變異數比率(自我相關)呈現較強的負向影響，同時伴隨著較高的市場交易量，因此與 Daniel, et al. (1998)所提出的以過度自信為基礎的行為假說一致。不過由於平均而言，國際股市報酬呈現短期正自我相關，上述因素反而扮演抑制反應不足，使得市場變得較為有效率的角色。
並列摘要
Culture plays no role in neoclassical rationality-based finance theory. Behavioral finance theories, by contrast, argue that the non-rational aspect of human behavior plays a dominant role in determining asset prices. Prior behavioral finance studies mostly investigate the effects of biases and heuristics from individual and group (or interactive) perspectives, ignoring the ＂collective＂ or country level, thus failing to explain why asset return regularities, or anomalies, differ across different financial markets. Using language, religion, and individualism as proxies for culture, we investigate how culture affects market efficiency around the globe. The empirical results show that countries with English as the main language, Protestant as the major religious faith, and high individualism exhibit smaller short-lag variance ratios and higher trading volume, consistent with the overreaction-based hypothesis of Daniel, et al. (1998). However, as most markets exhibit positive short-term autocorrelations, our results indicate that the aforementioned cultural traits actually help depress underreaction, thus improving the market efficiency.