政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/151541

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/151541

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/151541

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/151541

題名:	以保險角度檢視台灣股市 MAX 效應 MAX Effect in Taiwan Stock Market : An Insurance Perspective
作者:	葉楹茹 Yeh, Ying-Ju
貢獻者:	鍾令德葉楹茹 Yeh, Ying-Ju
關鍵詞:	MAX 效應樂透型股票避險 VIX 指數 MAX effect lottery-like stocks hedging VIX
日期:	2024
上傳時間:	2024-06-03 11:55:23 (UTC+8)
摘要:	本研究旨在探討台灣樂透型股票是否能夠在預期市場波動性增加時幫助投資人進行避險，以 2007 年至 2022 年臺灣上市櫃公司為研究樣本，證實台灣股市小型股具備顯著 MAX 效應，即上個月曾有過較大單日漲幅紀錄之股票，會在次月股價報酬率表現較差。參考Barinov (2018) 的作法，本文透過模擬投資組合(Factor Mimicking Portfolios)方式來追蹤臺指選擇權波動率指數(TAIWAN VIX )每日變動率，創建可交易的因子，即為 FVIX 因子，來反映市場上的避險資產組合，並將其加入至常用的因子模型當中。實證結果顯示，FVIX 因子能夠有效解釋小型股 MAX 效應，因此樂透型股票存在之負異常報酬可視為投資者所承擔之避險成本，與行為財務學中對 MAX 效應成因的解釋不同。由此可見， MAX 效應不單純是非理性投資人行為偏誤導致的非效率現象，樂透型股票可讓投資人降低預期的市場系統性風險，為該異象於台灣股票市場提出全新的理性避險觀點。 This study examines whether Taiwan lottery-like stocks are hedging vehicles against unexpected increases in market volatility. Using the data of listed firms on the Taiwan Stock Exchange (TSE) and Taiwan Over-The-Counter (OTC) from 2007 to 2022, we first confirm the statistical significance of the MAX effect in the Taiwan stock mar- ket, particularly among small-cap stocks. Stocks with high daily returns over the past month day tend to have lower expected stock returns in the following month. Second, following Barinov (2018), we form tradable Factor Mimicking Portfolios to track the daily changes of TAIWAN VIX. The resulting FVIX factor provides a hedge against fluctuations. Finally, we incorporate the FVIX factor into commonly used empirical pricing factor models. The empirical results support the role of FVIX factor in explain- ing the MAX effect in small-cap stocks. In other words, the negative alpha associated with the MAX effect of lottery-like stocks are not anomalies but rather the insurance costs incurred by investors seeking protection against unexpected market fluctuations. Therefore, this study suggests that the explanation of the MAX effect observed in Tai- wan is not restricted to the inefficient outcome of irrational investing behavioral bias. These lottery-like stocks in fact provide hedges against market volatility, thus offering an alternative rational insurance interpretation to their negative abnormal returns.
參考文獻:	Bali, Turan G., Nusret Cakici, and Robert F. Whitelaw, 2011, Maxing out: Stocks as lotteries and the cross-section of expected returns, Journal of Financial Economics 99, 427–446. Barberis, N., and M. Huang, 2008, Stocks as lotteries: The implications of probability weighting for security prices., American Economic Review 98, 2066–2100. Barinov, A., 2018, Stocks with Extreme Past Returns: Lotteries or Insurance?, Journal of Financial Economics 129, 458–478. Brunnermeier, M. K., and J. A. Parker, 2005, Optimal expectations, American Economic Review 95, 1092–1118. Chan, Yue-Cheong, and Andy C.W. Chui, 2016, Gambling in the Hong Kong stock market, International Review of Economics & Finance 44, 204–218. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2010, Individualism and Mo- mentum Around the World, The Journal of Finance 65, 361–392. Fama, E. F., and K. R French, 1993, Common risk factors in the returns on stocks and bonds, The Journal of Finance 33, 3–56. Gao, Xiaohui, and Tse-Chun Lin, 2015, Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments , The Review of Financial Studies 28, 2128–2166. Goldie, B.A., T.R. Henry, and H. Kassa, 2019, Does MAX matter for mutual funds? , The European Financial Management 25, 777–806. Hung, Weifeng, and J. Jimmy Yang, 2018, The MAX effect: Lottery stocks with price limits and limits to arbitrage , Journal of Financial Markets 41, 77–91. Ilmanen, Antti, 2012, Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?, Financial Analysts Journal 68, 26–36. Jensen, Theis Ingerslev, Bryan T. Kelly, and Lasse Heje Pedersen, 2023, Is There a Replication Crisis in Finance?, The Journal of Finance 78, 2465–2518. Kumar, Alok, 2009, Who Gambles in the Stock Market?, The Journal of Finance 64, 1889–1993. Lintner, John, 1965, Security Prices, Risk, and Maximal Gains From Diversification, The Journal of Finance 20, 587–615. Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442. Walkshäusl, Christian, 2014, The MAX effect: European evidence, Journal of Banking & Finance 42, 1–10.
描述:	碩士國立政治大學國際經營與貿易學系 111351004
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0111351004
資料類型:	thesis
顯示於類別:	[國際經營與貿易學系 ] 學位論文

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