The MAX Anomaly In The Stock Market Of China

Asset pricing has always been a hot research direction in the financial academia,but in recent years,the market anomalies discovered in the capital market continue to affect the effectiveness of asset pricing.Therefore,the research on market anomalies is of great significance for improving the reliability of asset pricing model and improving the perfection of the market.MAX anomaly,which is mainly researched in this paper,is one of the many market anomalies.MAX anomaly can also be called maximum daily return anomaly,that is,the higher the maximum daily return of last month,the worse the performance of stocks this month.This paper is divided into three parts.First of all,researching whether MAX anomaly exists in A-share market.The stocks were grouped according to the sum of the maximum three-days return of last month,and the existence of MAX anomaly was tested according to the average return of the portfolio.Then,the bivariate grouping method is used to test whether the MAX anomaly still exists after controlling the company size,book-to-market ratio and other factors.Finally,Fama-Mac Beth regression method was used to test the relationship between the variable MAX3 and future returns.Secondly,from the perspective of price,it analyzes how the price factors of individual stocks and stock indexes affect the MAX anomaly.Using the relative price of individual stocks and the recent return of the stock index as indicators,testing the MAX anomaly by using bivariate grouping method,and analyzing the influence of individual stocks and stock index price factors on the MAX.Thirdly,from the perspective of industry,testing the MAX anomaly to find whether there are any differences in different industries.In this part,the whole sample was divided into 11 industries such as finance and real estate,then testing the MAX anomaly in each industry respectively.And then from the perspective of the volatility of the industry,dividing the samples into three parts,includind the defensive industry,the growth industry and the cyclical industry.Analyzing how the factors of industry affect the MAX anomaly.This paper finally draws the following conclusions:(1)MAX anomaly exists significantly in the A-share market,and the MAX anomaly can still exist independently after controlling the company size,book value and other factors.(2)Both the price factors of individual stocks and stock indexes can affect the MAX anomaly.In terms of individual stock,the MAX anomaly is more significant when the relative price of individual stock is low.In the dimension of stock index,MAX anomaly is more significant when the stock index rises recently.(3)MAX anomaly is significantly different in different industries of A-shares,and the volatility of industry stock returns is the main reason for the difference,and MAX anomaly is more significant in industries with high volatility...