Max效應是否存在於日本股票市場- 以金融法規影響為例

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。\n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。\n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.\nThis 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.\nKeywords: Financial Instrument and Exchange Law, Max effect, Lottery Stocks