Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/140602
|
| Title: | Max效應是否存在於日本股票市場- 以金融法規影響為例
Does max effect exist in Japan stock market? Empirical evidence from the Financial Instrument and Exchange Law. |
| Authors: | 吳艾樺
Wu, Ai-Hua |
| Contributors: | 林靖庭
Lin, Ching-Ting
吳艾樺
Wu, Ai-Hua |
| Keywords: | Max效應
樂透股
投機行為
金融商品交易法
Max effect
Financial Instrument and Exchange Law
Lottery stocks |
| Date: | 2022 |
| Issue Date: | 2022-07-01 16:10:14 (UTC+8) |
| Abstract: | 在2008年前日本有Max效應，亦即前一個月最大報酬的投資組合，下個月報酬最低，而2008年後Max效應不顯著，甚至出現顯著反轉現象，亦即前一個月最大報酬的投資組合，下個月報酬最依舊最高。而Max效應不顯著原因為日本在2007年實行「金融商品交易法」要求更嚴格的上市股票財報披露，使得投資者偏好以基本面資訊做出交易決策，且於2008年修正法令，鼓勵專業投資者參與市場，而具備專業知識之機構投資者會以較理性態度建立投資決策，上述因素皆使得偏好樂透性質之投機行為消失，也使得Max效應不顯著，亦即為即前一個月最大報酬的投資組合，下個月報酬最依舊為最大報酬。
為了確認在法規發布後因嚴格的財報資訊揭露能使投資者以基本面資訊做出交易決策，降低投機行為使得Max效應不顯著，本研究以下列三種方式實證：其一，觀察季報發布日期和每月最大日報酬（Max）重疊之公司的Max效應，因為這些公司財報資訊較嚴格使得投資人能以基本面資訊做出交易決策，降低投機行為使得Max效應不顯著；其二，控制買賣價差、機構投資人佔比等變數，消除其對於投資組合影響，並觀察對於Max效應影響；其三，以市場情緒層面來分析日本股票市場法規發布前後Max效應之變化，觀察在不同市場情緒下Max效應情形。總結，2008年前日本股票市場是因為投機性質而產生Max效應，在法規發布後使得投資者採取以基本面投資取代投機行為使得Max效應不顯著，甚至出現顯著反轉現象。
關鍵詞： Max效應、樂透股、投機行為、金融商品交易法
We can observe the Max effect existed in Japan stock market before 2008. The portfolio with the highest return in the previous month had the lowest return in the next month. After 2008, however, the Max effect become statistically insignificant and reverse in Japan stock market. The portfolio with the highest return in the previous month still has the highest return in the next month. The reason was the Financial Instrument and Exchange Law released in 2007. It requires more stringent financial report disclosure of listed stocks which makes investors prefer to make investment decisions with fundamental information. The law was revised in 2008 to encourage professional investors who have a more rational attitude than regular investors to participate in the market. The above factors make investors reduce their speculative behavior and make the Max effect statistically insignificant.
This research uses three ways to prove the insignificance of the Max effect. First, the companies whose date of a quarterly report released overlaps with the date of the monthly maximum daily return （Max）can be the evidence for the insignificance of the Max effect. Second, we control the variables such as the bid-ask spread and the proportion of institutional investors to eliminate their impact on the Max effect and observe the Max Effect. Third, this research analyzes the relationship between investor sentiment and the Max effect before and after 2008. Overall, in this paper, we can conclude that the release of the law caused investors to make investment decisions with fundamental information, and the increase in the proportion of institutional investors makes them reduce the speculative behavior and make the Max effect statistically insignificant.
Keywords: Financial Instrument and Exchange Law, Max effect, Lottery Stocks |
| Reference: | Baker, M., & Wurgler, J. （2006）. Investor sentiment and the cross‐section of stock returns. Journal of Finance, 61（4）, 1645-1680.
Bali, T. G., Cakici, N., & Whitelaw, R. F. （2011）. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of financial economics, 99（2）, 427-446.
Barinov, A. （2018）. Stocks with extreme past returns: Lotteries or insurance?. Journal of Financial Economics, 129（3）, 458-48.
Brunnermeier, M. K., Gollier, C., & Parker, J. A. （2007）. Optimal beliefs, asset prices, and the preference for skewed returns. American Economic Review, 97（2）, 159-165.
Byun, S. J., & Kim, D. H. （2016）. Gambling preference and individual equity option returns. Journal of Financial Economics, 122（1）, 155-174. Bali, T. G., Cakici, N., & Whitelaw, R. F. （2011）.
Cheon, Y. H., & Lee, K. H. （2018）. Maxing out globally: Individualism, investor attention, and the cross section of expected stock returns. Management Science, 64（12）, 5807-5831.
Coller, M., & Yohn, T. L. （1997）. Management forecasts and information asymmetry: An examination of bid-ask spreads. Journal of accounting research, 35（2）, 181-191.
Conrad, J., Kapadia, N., & Xing, Y. （2014）. Death and jackpot: Why do individual investors hold overpriced stocks?. Journal of Financial Economics, 113（3）, 455-475.
Eleswarapu, V. R., Thompson, R., & Venkataraman, K. (2004). The impact of Regulation Fair Disclosure: Trading costs and information asymmetry. Journal of financial and quantitative analysis, 39(2), 209-225.
Fong, W. M., & Toh, B. （2014）. Investor sentiment and the MAX effect. Journal of Banking & Finance, 46, 190-201.
Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of accounting and economics, 31(1-3), 405-440.
Hung, W., & Yang, J. J. （2018）. The MAX effect: Lottery stocks with price limits and limits to arbitrage. Journal of financial markets, 41, 77-91.
Ince, O. S., & Porter, R. B. (2006). Individual equity return data from Thomson Datastream: Handle with care!. Journal of Financial Research, 29(4), 463-479.
Kumar, A. （2009）. Who gambles in the stock market?. The Journal of Finance, 64（4）, 1889-1933.
Nguyen, H. T., & Truong, C. （2018）. When are extreme daily returns not lottery? At earnings announcements!. Journal of Financial Markets, 41, 92-116.
Stambaugh, R. F., Yu, J., & Yuan, Y. （2012）. The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104（2）, 288-302.
Tao, R., Brooks, C., & Bell, A. R. （2020）. When is a MAX not the MAX? How news resolves information uncertainty. Journal of Empirical Finance, 57, 33-51.
Venkatesh, P. C., & Chiang, R. （1986）. Information asymmetry and the dealer`s bid‐ask spread: A case study of earnings and dividend announcements. The Journal of Finance, 41（5）, 1089-1102.
Walkshäusl, C. （2014）. The MAX effect: European evidence. Journal of Banking & Finance, 42, 1-10.
Zhong, A., & Gray, P. （2016）. The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, 65, 76-90.
台灣證券交易所. （2020）. 日本證券市場相關制度.
周行一、郭維裕、徐政義. （2006）. 從日本『金融商品交易法』來探討我國未來金融市場發展方向. 中華民國證券商業同業公會委託專案研究 （頁 87-136）. 國立政治大學商學院投資人研究中心.
陳茵琦. （2007）. 從「證券交易法」到「金融商品交易法」－淺談日本新金融商品交易法之規範. 證交資料（546）, 頁 19-31.
謝學如. （2009）. 日本金融大改革及對我國之啟示. 經濟研究（9）, 頁 125-154. |
| Description: | 碩士
國立政治大學
金融學系
109352015 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352015 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200643 |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 201501.pdf | | 1061Kb | Adobe PDF2 | 0 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
