Journal of Banking & Finance · 2022 · 75 citations · 71 references
Social SciencesEconomicsFinanceBehavioral EconomicsFinancial MarketsInstitutional TheorySocial CapitalSocial PreferencesBehavioral VariablesInvestor Behavior Analysis
The study analyzes stock market participation across 19 European countries, aiming to map the relative importance of institutional, traditional, and behavioral drivers and to propose a hierarchical framework linking factors to agents’ participation propensity. The authors use a comprehensive cross‑country dataset, jointly controlling for almost all previously identified drivers—including risk‑aversion—and employ a hierarchical model that challenges conventional interpretations of sociability, IQ, trust, and life experiences. The model explains participation with 30% attributable to institutional country effects, 50% to traditional individual variables, and 20% to behavioral factors.
We analyze stock market participation in 19 European countries, providing a composite view of the interplay and relative importance of established participation drivers. We jointly control for nearly all relevant drivers found in prior studies, which tend to introduce one novel variable at a time and often omit risk-aversion. Excellent full model predictive power decomposes into institutional (country) fixed effects (about 30% of total), traditional individual-level variables (50%), and more recently identified behavioral variables (20%). We sketch a hierarchical framework where factors’ effects vary by agents’ proneness to participate. We also challenge and complement existing interpretations given to sociability, IQ, trust, and life experiences.
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