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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 3-Jun-2024 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
dc.contributor.advisor 鍾令德zh_TW
dc.contributor.author (Authors) 葉楹茹zh_TW
dc.contributor.author (Authors) Yeh, Ying-Juen_US
dc.creator (作者) 葉楹茹zh_TW
dc.creator (作者) Yeh, Ying-Juen_US
dc.date (日期) 2024en_US
dc.date.accessioned 3-Jun-2024 11:55:23 (UTC+8)-
dc.date.available 3-Jun-2024 11:55:23 (UTC+8)-
dc.date.issued (上傳時間) 3-Jun-2024 11:55:23 (UTC+8)-
dc.identifier (Other Identifiers) G0111351004en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/151541-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 111351004zh_TW
dc.description.abstract (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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 中文摘要 i 英文摘要 ii 第一章緒論 1 第二章研究資料與方法 4 第一節資料來源 4 第二節研究方法 4 第三節實證模型 7 第三章 研究結果與分析 10 第一節 統計摘要 10 第二節 個股特徵相關係數 11 第三節 FVIX 因子迴歸係數 12 第四節 各因子間相關係數 12 第五節 大型股MAX效應驗證 13 第六節 大型股、小型股MAX效應歷年累積報酬 13 第七節 小型股MAX效應及FVIX因子實證結果 14 第四章 穩健型檢定 16 第一節 檢定方法 16 第二節 EW、CW FVIX因子迴歸係數 16 第三節 各因子間相關係數 17 第四節 大型股MAX效應驗證 17 第五節 大型股、小型股MAX效應歷年累積報酬 17 第六節 小型股MAX效應及FVIX因子實證結果 18 第五章 結論 19 主要資料 21 參考文獻 27zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111351004en_US
dc.subject (關鍵詞) MAX 效應zh_TW
dc.subject (關鍵詞) 樂透型股票zh_TW
dc.subject (關鍵詞) 避險zh_TW
dc.subject (關鍵詞) VIX 指數zh_TW
dc.subject (關鍵詞) MAX effecten_US
dc.subject (關鍵詞) lottery-like stocksen_US
dc.subject (關鍵詞) hedgingen_US
dc.subject (關鍵詞) VIXen_US
dc.title (題名) 以保險角度檢視台灣股市 MAX 效應zh_TW
dc.title (題名) MAX Effect in Taiwan Stock Market : An Insurance Perspectiveen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (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.zh_TW