Description:
The traditional financial framework theorizes a positive mean-variance relation, i.e., the risk-return tradeoff, which, however, is not fully supported by empirical evidence. Explanations for the weak mean-variance relation have been explored from various perspectives and in this paper, we provide a new explanation by separately looking into the relation overnight and intraday. Results show that at the global level, there is a positive mean-variance relation overnight but a negative relation intraday. Results of individual markets reveal a high degree of heterogeneity with some markets mirroring while some markets contradicting the global evidence. We employ the cultural dimension framework to examine the potential drivers of the observed cross-market differences, showing that all six cultural indicators can influence the mean-variance relation across markets, and notably, the cultural influence can vary across night and day