| 摘要 | 第4-5页 |
| Abstract | 第5页 |
| Chapter 1 Introduction | 第9-20页 |
| 1.1 Introduction | 第9-12页 |
| 1.2 Research Background | 第12-14页 |
| 1.3 Research Objectives and Research Problem Definition | 第14-15页 |
| 1.4 Research Hypothesis | 第15-16页 |
| 1.5 Summary of Research Findings | 第16-17页 |
| 1.6 Research Contribution | 第17-18页 |
| 1.7 Research Implications | 第18-19页 |
| 1.8 Research Organization | 第19-20页 |
| Chapter 2 Literature Review | 第20-28页 |
| 2.1 Introduction | 第20页 |
| 2.2 Max Effect: Evidence in the U.S. and International stock markets | 第20-22页 |
| 2.2.1 The U.S. Evidence | 第20-21页 |
| 2.2.2 MAX effect: Other developed stock markets | 第21-22页 |
| 2.3 Max Effect: In Emerging Markets | 第22-23页 |
| 2.4 Idiosyncratic Volatility effect: U.S. and International Stock Markets Evidence | 第23-25页 |
| 2.4.1 The U.S. Evidence | 第23-24页 |
| 2.4.2 Idiosyncratic volatility effect: Other developed stock markets | 第24-25页 |
| 2.4.3 The empirical evidence on the emerging stock markets | 第25页 |
| 2.5 Max Effects and Idiosyncratic Volatility Puzzle | 第25-27页 |
| 2.5.1 The U.S. and other developed stock markets | 第25-26页 |
| 2.5.2 Empirical evidence on the emerging stock markets | 第26-27页 |
| 2.6 Summary of the Literature Review | 第27-28页 |
| Chapter 3 Research Methodology | 第28-35页 |
| 3.1 Introduction | 第28页 |
| 3.2 Sample data and variable definitions | 第28-29页 |
| 3.3 Variable definitions | 第29-32页 |
| 3.4 Methodological approach | 第32-33页 |
| 3.4.1 To test evidence of MAX effect in the selected African stock markets | 第32-33页 |
| 3.4.2 To test evidence of IVOL effect in the selected African stock markets | 第33页 |
| 3.4.3 To examine the relation between MAX and idiosyncratic volatility puzzle | 第33页 |
| 3.5 Robustness Tests | 第33-35页 |
| Chapter 4 Results and Discussion | 第35-47页 |
| 4.1 Main findings | 第35-37页 |
| 4.1.1 Descriptive Statistics | 第35-36页 |
| 4.1.2 Correlation results | 第36-37页 |
| 4.2 Empirical results | 第37-45页 |
| 4.2.1 MAX effect | 第37-41页 |
| 4.2.2 Idiosyncratic Volatility effect | 第41-43页 |
| 4.2.3 MAX and Idiosyncratic volatility effect | 第43-45页 |
| 4.3 Robustness Tests | 第45-47页 |
| CHAPTER 5 Conclusions, Research Limitation,and Future Research | 第47-49页 |
| 5.1 Conclusions | 第47-48页 |
| 5.2 Research Limitation | 第48页 |
| 5.3 Future research | 第48-49页 |
| References | 第49-53页 |
| Acknowledgement | 第53-54页 |
| Dedication | 第54-55页 |
| Table 3.1: Descriptive Summary of the African stock markets | 第55-56页 |
| Table 4.1: Descriptive Statistics of MAX variables in the African stock markets | 第56-58页 |
| Table 4.2: Correlation between MAX and other control variables | 第58-60页 |
| Table 4.3 Univariate Cross-sectional regressions with MAX and other controlvariables | 第60-64页 |
| Table 4.4 Bivariate and multivariate cross-sectional regressions with MAX andother control variables | 第64-68页 |
| Table 4.5 Bivariate and multivariate cross-sectional regressions with IVOL andother control variables | 第68-72页 |
| Table 4.6 Bivariate and multivariate cross-sectional regressions with MAX, IVOLand other control variables | 第72-76页 |
| Table 4.7 Univariate, bivariate and multivariate cross-sectional regressions withMAX5,IVOL and other control variables | 第76-81页 |
