Table 9 Correlations of country-level...

Table 9

Correlations of country-level indices

	UAI	DEVP	EQUITY	MKTCAP	LIQUID	R²	MKT	FERC	TCOST	IRISK	DVOL	SHORT	CR	AD	AS	ACCT	EMS	UK	FR	GE	SC
IDV	−0.142	0.744	0.529	0.217	0.064	−0.387	0.259	0.358	−0.534	0.071	0.231	0.534	0.089	−0.063	0.001	0.396	−0.542	0.125	−0.163	−0.144	0.252
UAI		−0.050	−0.281	−0.438	−0.194	0.221	−0.415	−0.179	−0.096	−0.219	0.096	0.055	−0.408	−0.302	−0.488	−0.681	0.517	−0.487	0.538	0.162	−0.297
DEVP			0.560	0.267	0.069	−0.193	0.505	0.343	−0.590	−0.131	0.349	0.255	0.129	−0.042	0.015	0.341	−0.166	0.034	−0.182	−0.040	0.282
EQUITY				0.543	0.451	−0.081	0.688	0.405	−0.285	0.196	0.149	0.283	0.326	0.372	0.279	0.668	−0.533	0.405	−0.503	−0.028	0.234
MKTCAP					0.560	0.029	0.823	0.437	−0.143	−0.100	−0.109	0.096	0.259	0.282	0.388	0.625	−0.230	0.346	−0.387	0.078	−0.005
LIQUID						0.175	0.617	0.332	−0.265	−0.130	0.182	0.050	0.142	−0.012	0.123	0.380	−0.003	0.055	−0.391	0.431	−0.017
R²							0.004	0.018	0.058	−0.270	0.055	−0.121	0.033	−0.078	−0.065	−0.118	0.477	−0.218	0.226	0.035	−0.061
MKT								0.384	−0.183	0.052	−0.046	0.100	0.468	0.386	0.508	0.697	−0.283	0.446	−0.479	−0.083	0.157
FERC									−0.344	−0.184	0.066	0.041	0.294	0.078	−0.050	0.279	0.042	0.144	−0.331	0.226	−0.001
TCOST										0.325	−0.529	−0.360	−0.123	0.233	0.108	−0.190	0.053	0.169	0.138	−0.191	−0.214
IRISK											−0.257	−0.088	−0.063	0.305	0.212	0.200	−0.442	0.417	−0.176	−0.218	−0.091
DVOL												0.091	−0.119	−0.033	−0.215	0.094	0.097	−0.339	0.049	0.220	0.157
SHORT													0.006	0.018	−0.097	−0.017	−0.376	0.015	0.015	−0.140	0.140
CR														0.271	0.419	0.288	0.121	0.358	−0.429	0.108	−0.023
AD															0.415	0.462	−0.361	0.423	−0.238	−0.233	0.043
AS																0.455	−0.420	0.663	−0.507	−0.180	0.042
ACCT																	−0.665	0.443	−0.600	−0.083	0.348
EMS																		−0.445	0.273	0.487	−0.296
UK																			−0.538	−0.367	−0.245
FR																				−0.367	−0.245
GE																					−0.167

	UAI	DEVP	EQUITY	MKTCAP	LIQUID	R²	MKT	FERC	TCOST	IRISK	DVOL	SHORT	CR	AD	AS	ACCT	EMS	UK	FR	GE	SC
IDV	−0.142	0.744	0.529	0.217	0.064	−0.387	0.259	0.358	−0.534	0.071	0.231	0.534	0.089	−0.063	0.001	0.396	−0.542	0.125	−0.163	−0.144	0.252
UAI		−0.050	−0.281	−0.438	−0.194	0.221	−0.415	−0.179	−0.096	−0.219	0.096	0.055	−0.408	−0.302	−0.488	−0.681	0.517	−0.487	0.538	0.162	−0.297
DEVP			0.560	0.267	0.069	−0.193	0.505	0.343	−0.590	−0.131	0.349	0.255	0.129	−0.042	0.015	0.341	−0.166	0.034	−0.182	−0.040	0.282
EQUITY				0.543	0.451	−0.081	0.688	0.405	−0.285	0.196	0.149	0.283	0.326	0.372	0.279	0.668	−0.533	0.405	−0.503	−0.028	0.234
MKTCAP					0.560	0.029	0.823	0.437	−0.143	−0.100	−0.109	0.096	0.259	0.282	0.388	0.625	−0.230	0.346	−0.387	0.078	−0.005
LIQUID						0.175	0.617	0.332	−0.265	−0.130	0.182	0.050	0.142	−0.012	0.123	0.380	−0.003	0.055	−0.391	0.431	−0.017
R²							0.004	0.018	0.058	−0.270	0.055	−0.121	0.033	−0.078	−0.065	−0.118	0.477	−0.218	0.226	0.035	−0.061
MKT								0.384	−0.183	0.052	−0.046	0.100	0.468	0.386	0.508	0.697	−0.283	0.446	−0.479	−0.083	0.157
FERC									−0.344	−0.184	0.066	0.041	0.294	0.078	−0.050	0.279	0.042	0.144	−0.331	0.226	−0.001
TCOST										0.325	−0.529	−0.360	−0.123	0.233	0.108	−0.190	0.053	0.169	0.138	−0.191	−0.214
IRISK											−0.257	−0.088	−0.063	0.305	0.212	0.200	−0.442	0.417	−0.176	−0.218	−0.091
DVOL												0.091	−0.119	−0.033	−0.215	0.094	0.097	−0.339	0.049	0.220	0.157
SHORT													0.006	0.018	−0.097	−0.017	−0.376	0.015	0.015	−0.140	0.140
CR														0.271	0.419	0.288	0.121	0.358	−0.429	0.108	−0.023
AD															0.415	0.462	−0.361	0.423	−0.238	−0.233	0.043
AS																0.455	−0.420	0.663	−0.507	−0.180	0.042
ACCT																	−0.665	0.443	−0.600	−0.083	0.348
EMS																		−0.445	0.273	0.487	−0.296
UK																			−0.538	−0.367	−0.245
FR																				−0.367	−0.245
GE																					−0.167

Note(s): This table reports the cross-sectional Pearson correlations among the country-specific variables, including proxies for market development, market efficiency, limits-to-arbitrage, corporate governance and investor protection and accounting quality. The market development and efficiency proxies include the dummy for developed markets (DEVP), access-to-equity markets (EQUITY), the ratio of stock market capitalization to GDP (MKTCAP), the ratio of the total value of shares traded to GDP (LIQUID), stock return synchronicity (R2), the importance of the stock market in the economy (MKT) and future earnings response coefficient (FERC). The limits-to-arbitrage proxies include the estimate of trading costs (TCOST), the average idiosyncratic risk (IRISK), the average annual dollar trading volume (DVOL) and the indicator of no short-sale restriction (SHORT). The proxies for corporate governance and investor protection include the creditor rights index (CR), the revised anti-director rights index (AD), the anti-self-dealing index (AS) and four legal origin dummies UK, FR, GE and SC, which represent English, French, German and Scandinavian legal origins, respectively. The proxies for accounting quality include the accounting standard ranking (ACCT) and the earnings management score (EMS). The details of the variable constructions are provided in the Appendix. Italic typeface indicates significance at the 5% level

Source(s): Author's work

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