The Gambling Preference Of Investors And Its Impact On Behavior Of Stock Price

Chasing profit is human's nature,and gambling as an activity which can give people “a tiny opportunity to win a huge prize” is very popular ever since it's born.Investors,as the main participator of stock market,also have a certain degree of gambling preference,and this gambling preference may impact the whole stock market through each investor's investment behavior.This paper first uses the fireworks algorithm to solve the classical Markowitz portfolio model with skewness preference;then we use Baidu search index to build a dynamic index and to measure investors' gambling preference;and at last,we use the new investors' gambling preference index to investigate the influence of investors' gambling preference on stock return,volatility and trading volume.The main conclusions and innovations of this paper can be summarized as the following four aspects:1?This paper studies the optimal portfolio problem under the influence of investors' gambling preference.Using fireworks algorithm to solver the mean-variance model and mean-variance-skewness model,we find that fireworks algorithm is superior to the genetic algorithm both on the convergence speed and the optimal calculation results.The calculation results show that the more the skewness preference the investor is,the high weight he given to the stock with a high skewness in his optimal decision.2?This paper uses Baidu index to build a dynamic index for investors' gambling preference in Chinese stock market,and uses the lottery sales data to test the effectiveness of the new gambling preference index.In addition,as investors' gambling preference will increase investors' trading frequency within a certain range,therefore,this paper also does an empirical test and finds the new gambling preference index is effective.3?Using the new gambling preference index,this paper studies the influence of the investors' gambling preference on stock return and volatity.We use the CNI 1000 INDEX,CNI LARGE CAP.INDEX,CNI MID CAP.INDEX,and CNI SMALL CAP.INDEX as research sample,and the empirical results show that,the investors' gambling preference can increase all indexes' return and reduce their volatility,but as time goes by,the investors' gambling preference will reduce the following return and increase volatility,and these impacts are more obvious in the results about CNI SMALL CAP.INDEX.4?This paper also studies the influence of the investors' gambling preference on stock trading volume,and we also use the CNI 1000 INDEX,CNI LARGE CAP.INDEX,CNI MID CAP.INDEX,and CNI SMALL CAP.INDEX as research sample.The results show that the investors' gambling preference can increase all CNI INDEX's trading volumes,and reduce the following trading volumes.