Research On The Influence Of Gambling Emotion On The Return Comovement Of Lottery-like Stocks

To identify the sources of comovement in stock returns is one of the basic goals of asset pricing research.Traditionally,it's explained from the aspect of the fundamental information.With the development of behavior finance,many literatures explained the comovement in stock returns from other aspects,such as investors' emotion,preference and investment style.In Chinese stock market,there are obvious comovement in return on assets compared to the western market.Therefore,Chinese market is known as“Gambling".Gambling emotion is a key factor that influences investors' decision making.It also leads to their preferences on lottery-like stocks.To identify lottery-like stocks,this research chose low price,high idiosyncratic fluctuation and high skewness these 3 indexes to measure the lottery attribute of stocks,building up the lottery type index,identifying A-share market lottery stocks.In the meantime,we analyze the attributes of lottery-like stocks,finding that concentration phenomenon exists in 5 trades including real estate,transportation and so on.Considering the whole sample interval,for 3566 stocks,nearly 50%stocks have ever been defined as lottery-like stocks,and most of which are defined 1-3 times.It suggests that Chinese stock market is strongly affected by the gambling emotion.On the basis of building up the index of lottery-like stocks,this passage estimates p,the comovement of the lottery-like stock portfolio to the individual stock,finding that beta is of significantly positive influence,equal to the coefficient estimation of the Fama-French three-factor in the statistical.Then,this passage takes the ratio of provincial lottery sales to GDP as the geographical proxy variable of gambling emotion,studying the influence of gambling attitudes to the return comovement of lottery-like stocks,showing that investors who have the gambling motives to make relevant transactions will cause the excess return comovement in lottery-like stocks.The stronger relation in lottery-like stocks,the fiercer return comovement is in which investors' gambling tendency is the strongest.Finally,we use macro indices to distinguish different regions and study the systematic impact of economic conditions and income shocks on the demand for lottery-like stocks,finding when the local economic conditions are relatively good,the return comovement of the investors dominated by gambling on the returns of lottery-like stocks is much greater.