Date of Publication

4-17-2023

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Applied Economics major in Financial Economics

Subject Categories

Finance

College

School of Economics

Department/Unit

Economics

Thesis Advisor

Myrna S. Austria
Tereso S. Tullao, Jr

Defense Panel Chair

Myrna S. Austria

Defense Panel Member

Tereso S. Tullao, Jr

Abstract/Summary

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.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stocks—Philippines—Rate of return; Stocks—Philippines

Upload Full Text

wf_yes

Embargo Period

4-17-2025

Download

Available for download on Thursday, April 17, 2025

Share

COinS