The purpose of this study is to apply and extend Gray (1988) theoretical framework of national culture with respect to four research questions. First, to contribute to Gray (1988) theory of cultural influence on international banking disclosures. Second, to investigate the possible significance of investor protection to the banking disclosure model. Third, to explore Gray (1988) theory on the relationship of national culture to capital market research using banking returns. Fourth, to investigate the value relevance of investor protection and banking disclosures to the returns model.
For the disclosure model, the study finds that individualism has been found as the primary cultural dimension for banking disclosures and the explanatory power of the model significantly improves with the legal dimensions of common law and anti-director rights. For the returns model, the study finds that collectivism and power distance have been found to be the two primary cultural dimensions for banking returns and the explanatory power of the model significantly improves with anti-director rights and banking disclosures.