Economic Policy Uncertainty and Gambling Preference: Evidence From the Asia‐Pacific Stock Markets
研究了经济政策不确定性和博彩偏好如何影响亚太九大市场的股票收益，发现MAX每增加1%导致收益下降0.2022%，而政策不确定性每增加1%则使收益上升0.007%，且政策不确定性削弱了MAX效应。
ABSTRACT This study examines how economic policy uncertainty and gambling preference affect stock returns in nine Asia‐Pacific markets. Our study obtains stock data in nine Asia‐Pacific markets from July 2002 to December 2018. We use portfolio sorting and Two‐Stage Least Squares regressions to examine the MAX anomaly in stock returns. Our findings indicate that a percentage increase in MAX reduces stock returns by 0.2022%. The MAX anomaly is also more pronounced in developed markets than in emerging markets, even after controlling for EPU. Additionally, our results suggest that a percentage increase in Economic Policy Uncertainty is associated with a 0.007% increase in stock returns. Furthermore, the results show that EPU weakens the effect of the MAX anomaly on stock returns. Our findings remain robust across Press Freedom Index partitions, price limit mechanisms, and when substituting EPU with WUI. Our findings align with asymmetric information, noise traders, anchoring, the risk–return trade‐off, asset pricing, real options theories, and prior literature. Our study offers practical implications for policymakers and investors to improve market efficiency and address stock price manipulation, thereby reducing the MAX effect across Asia‐Pacific markets.