Does the MAX effect exist in the Philippine stock market?

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ID: 285726
2023
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Abstract
This study explores the MAX effect in the Philippine Stock Market and found strong evidence for the existence of the MAX effect in the Philippine Stock Market, as demonstrated by the consistent underperformance of high-MAX stocks relative to low-MAX stocks. This finding persists even after controlling for various market factors. The existence of the MAX effect in the stock market of a developing country is interesting to note as this implies that the phenomenon is not limited to developed markets, as situated in most studies on the MAX effect. Furthermore, this suggests that heuristic biases and gambling behavior among investors may be prevalent across various regions, regardless of their level of development. Moreover, this highlights the importance of conducting research in different markets to gain a more comprehensive understanding of market anomalies and investor behavior. Overall, these results contribute to our understanding of stock performance in the Philippine Stock Market and have implications for investor decision-making and portfolio management.
Reference Key
persistent_1760656466_68f17c52b01eb Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Ko, Kino Denzel
Journal Malay Journal
Year 2023
DOI
DOI not found
URL
https://animorepository.dlsu.edu.ph/etdb_econ/57
Keywords Keywords not found

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