Lottery preference and stock market return: Chinese evidence using daily and provincial data

Zhang, Tingting; Song, Miao; Li, Kaixin; Liu, Zhifeng

doi:10.1080/13504851.2020.1834496

Cited by 8 publications

(7 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“… Goodell (2020) showed that markets are likely to react similarly to the pandemic as to other disasters, such as natural disasters ( Gao et al, 2020 ) or terrorism ( Wang and Young, 2020 ). There is also a common trait that investors’ risk preferences or moods toward certain events might vary considerably, leading to an increase in fear-induced sentiment ( He et al, 2019 ; He, 2020 ; Liu et al, 2020a , 2020b ; Zhang et al, 2020b ; Dai et al, 2021 ). While previous disasters have occurred in specific regions of the world with partial disruptions, the COVID-19 pandemic has disrupted travel as well as economic transactions on a global scale.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of COVID-19 on the stock market crash risk in China

Liu

Huynh

Dai

2021

Research in International Business and Finance

Self Cite

120

View full text Add to dashboard Cite

This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the proxy for the equity market crash risk of the Shanghai Stock Exchange. We then constructed a fear index for COVID-19 using data from the Baidu Index. Based on the findings, conditional skewness reacts negatively to daily growth in total confirmed cases, indicating that the pandemic increases stock market crash risk. Moreover, the fear sentiment exacerbates such risk, especially with regard to the impact of COVID-19. In other words, when the fear sentiment is high, the stock market crash risk is more strongly affected by the pandemic. Our evidence is robust for the number of daily deaths and global cases.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

The impact of COVID-19 on the stock market crash risk in China

Liu

Huynh

Dai

2021

Research in International Business and Finance

Self Cite

120

View full text Add to dashboard Cite

show abstract

“…Based on the US, UK, Japan, and other developed countries' evidence, Bai et al ( 2 ) and Rahman et al ( 3 ) argue a significant negative influence of COVID-19 on stock prices and a positive influence on stock volatility. The adverse impacts of the epidemic on stock price or fluctuations are also addressed in emerging markets ( 1 , 4 , 28 ). Particularly, some of the investigations reveal that the reaction of the stock market is in the short-term ( 38 , 39 ).…”

Section: Literature Reviewmentioning

confidence: 99%

“…As the most influential health crisis of the recent decade, the COVID-19 pandemic has triggered tremendous social and economic influences among countries in the past 2 years. There is a proliferation of papers investigating its sudden impact on the stock market with most of their perspectives suggesting that the impact is devastating ( 1 – 3 ). Despite the increase or decrease in prices, the volatility itself is also of great significance to the market ( 1 , 4 , 5 ).…”

Section: Introductionmentioning

confidence: 99%

“…There is a proliferation of papers investigating its sudden impact on the stock market with most of their perspectives suggesting that the impact is devastating ( 1 – 3 ). Despite the increase or decrease in prices, the volatility itself is also of great significance to the market ( 1 , 4 , 5 ). China's stock market is the world's second largest, behind the US, 1 and is inextricably linked to economic development and social stability, its yields have a global spillover effect ( 6 ).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Impact of the COVID-19 Pandemic on China's Stock Market Volatility, During and After the Outbreak: Evidence From an ARDL Approach

Jin

2022

Front. Public Health

View full text Add to dashboard Cite

PurposeIn this study, we empirically investigate the impact of the COVID-19 pandemic on China's stock price volatility during and after its initial outbreak, using time-series daily data covering the period from July to October, 2020 and 2021, respectively.Design/Methodology/ApproachIn the estimation, the ARDL bounds test approach was employed to examine the existence of co-integration and the relationship of long-run and short-run between the new infection rates and stock price volatility, as stable and unstable variables are mixed. The inner-day and inter-day volatility, based on the Shanghai (securities) composite index, are estimated in separate empirical models. In addition, the Inter-bank overnight lending rate (IBOLR) is controlled in order to consider the effect of liquidity and investment cost.Findings and ImplicationsWe find that in the initial year (2020) of the epidemic, the new infection rate is negatively correlated to stock prices in the short-term, whereas no significant evidence existed in the long-term, regardless of model specifications. However, after the epidemic's outbreak (2021), the result depicts that new infections increased stock prices in the long-term, and depressed its inner-day volatility in the short-term, which is inconsistent with most investigations. This phenomenon may be due to the fact that investors were more concerned about the withdrawal of monetary easing and fiscal stimulus, which were introduced to fight against the epidemic's impact on economy, than the epidemic itself. This study complements the limitations of most existing studies, which just focus on the period of the epidemic's outbreak, and provides insight into macroeconomic policy making in the era of the post COVID-19 epidemic such as the structural and ordered exit of the stimulating policies, intervention in IBOLR and balance social and economic sustainability.

show abstract

“…Following Chen et al (2020), we first construct a lottery preference index based on the Baidu search index. In fact, text data, such as the Baidu search index, has been widely used in China-related financial research (see, Wen et al (2019), Zhang et al (2020), Huang et al (2020), Liu et al (2021)). Specifically, we use the abnormal search volume intensity(ASVI) for the topic “lottery” from the Baidu search engine to capture retail investors' lottery preference; we then conduct a validation test for this measure.…”

Section: Introductionmentioning

confidence: 99%

Lottery preference and stock market participation: evidence from China

Zhang

Wei

Liu

et al. 2021

CFRI

Self Cite

View full text Add to dashboard Cite

PurposeThis paper studies the effects of lottery preference on stock market participation at the macro level.Design/methodology/approachThe authors use the abnormal search volume intensity for lottery-related keywords from the Baidu search engine to capture retail investors' lottery preference. To measure stock market participation, they use five different macro-level measures from various angles. They perform the time series regression analysis in their empirical study.FindingsFirst, the validation tests show that the lottery preference index in this study is reasonable. Further, the authors find that lottery preference increases people's propensity to enter and trade in the stock market. Besides, they find that the effect on trading behavior is asymmetric, that is, high lottery preference has a more significant impact on trading behavior than low lottery preference. However, lottery preference has no significant effect on the stockholding.Originality/valueThis paper contributes to the growing literature that examines the determinants of stock market participation and the role of lottery/gambling preference in the financial market. It also provides direct and novel evidence for Statman's (2002) conclusions about the similarity of lottery players and stock traders.

show abstract

Lottery preference and stock market return: Chinese evidence using daily and provincial data

Cited by 8 publications

References 14 publications

The impact of COVID-19 on the stock market crash risk in China

The impact of COVID-19 on the stock market crash risk in China

Impact of the COVID-19 Pandemic on China's Stock Market Volatility, During and After the Outbreak: Evidence From an ARDL Approach

Lottery preference and stock market participation: evidence from China

Contact Info

Product

Resources

About