摘要
首次使用百度搜索指数来度量我国股市投资者的彩票偏好程度,并从市场整体层面研究了投资者彩票偏好对股市收益及其波动的影响.分析了和彩票销售数据的相关性,结果表明彩票偏好指数是有效的.随后使用巨潮系列规模指数进行实证研究后发现:投资者彩票偏好会显著降低滞后1期的股市收益率,这种影响在中、小盘股票中体现得尤为明显;对波动率的影响方面,彩票偏好会显著降低小盘股的当期波动率,并且这种影响主要是通过移动端体现出来的,表明不同端口投资者的彩票偏好对股票价格行为的影响存在异质性.使用上证A股系列指数进行的稳健性检验发现实证结果是基本一致的.
This paper uses Baidu search index,for the first time,to measure the degree of lottery preferences of investors in Chinese stock market,and from the overall perspective,studies the effect of investor lottery preferences on stock market returns and volatility.First,using the lottery sales data,the lottery preference index is proved to be effective.Second,the empirical study using a series of JuChao indices finds that lottery preferences will significantly reduce the one period lagged return.This effect is particularly evident in mediumand small-cap stocks.Further,lottery preference will significantly reduce the current volatility of small-cap stocks,and this effect is mainly reflected by the mobile terminal.The empirical results are proved to be robust using the Shanghai A Shares Series Index.
作者
刘志峰
张婷婷
LIU Zhi-feng;ZHANG Ting-ting(School of Management,Hainan University,Haikou 570228,China;School of Economics,Hainan University,Haikou 570228,China;College of Management and Economics,Tianjin University,Tianjin 300072,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2020年第3期89-99,共11页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71861008,71663015,71761010)
海南省基础与应用基础研究计划(自然科学领域)高层次人才项目(2019RC151)
海南省自然科学基金资助项目(718QN221)
海南省教育厅高等学校科学研究资助项目(HNKY2016-7)
海南大学科研启动基金资助项目(KYQD(SK)1809,KYQD1634).
关键词
彩票偏好
赌博偏好
百度指数
彩票型股票
lottery preference
gambling preference
Baidu index
lottery-like stocks
