Gambling in the Hong Kong stock market

被引：28

作者：

Chan, Yue-Cheong ^{[1
]}

Chui, Andy C. W. ^{[1
]}

机构：

[1] Hong Kong Polytech Univ, Sch Accounting & Finance, Kowloon, Hong Kong, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2016年 / 44卷

关键词：

Lottery-stock premium; Maximum daily returns; Cross-sectional stock returns; CROSS-SECTION; RETURNS; PREFERENCE; LOTTERIES; SKEWNESS;

D O I：

10.1016/j.iref.2016.04.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper documents the existence of a lottery-stock premium in the Hong Kong stock market as reflected by the finding that stocks with stronger lottery features during the current month have poorer future return in the following month. The lottery-stock premium is weaker for stocks with persistent lottery features and is stronger when the overall stock market is more volatile or has poorer returns. In addition, the strength of lottery features can predict the future upside potential of the stock. Overall, this study indicates that people's gambling attitudes affect stock price movements and speculative investors are trading off between the poorer mean return and the better right-hand tail of the return distribution when they are buying the lottery-like securities. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：204 / 218

页数：15

共 50 条

[1] Stock Market Manipulation on the Hong Kong Stock Exchange
Gerace, Dionigi
Chew, Charles
Whittaker, Christopher
Mazzola, Paul
[J]. AUSTRALASIAN ACCOUNTING BUSINESS AND FINANCE JOURNAL, 2014, 8 (04) : 105 - 140
[2] Causal Analysis of Hong Kong Stock Market
Yao Feng
Dai Shugeng
Li Yao
[J]. PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2017, : 69 - 74
[3] Insider trading in the Hong Kong stock market
Wong M.C.S.
Cheung Y.-L.
Wu L.
[J]. Asia-Pacific Financial Markets, 2000, 7 (3) : 275 - 288
[4] Is there a volatility effect in the Hong Kong stock market?
Nartea, Gilbert V.
Wu, Ji
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2013, 25 : 119 - 135
[5] Knowledge discovery with the Hong Kong stock market
Sham, L
Wu, A
Yiu, LV
[J]. COMPUTERS AND THEIR APPLICATIONS - PROCEEDINGS OF THE ISCA 11TH INTERNATIONAL CONFERENCE, 1996, : 151 - 154
[6] The Shanghai-Hong Kong Stock Market
Wan Jing
[J]. EAST ASIAN POLICY, 2015, 7 (03) : 36 - 45
[7] An outlier analysis of the Hong Kong stock market index
Yeung, I
Chiu, N
[J]. APPLIED ECONOMICS LETTERS, 2000, 7 (08) : 531 - 534
[8] Volatility risk premium in Hong Kong stock market
Chen, Rong
Fang, Kun-Ming
[J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2011, 31 (04): : 761 - 770
[9] The first 20 min in the Hong Kong stock market
Huang, ZF
[J]. PHYSICA A, 2000, 287 (3-4): : 405 - 411
[10] Stock market performance in Hong Kong: an exploratory review
Ho, Sin-Yu
Odhiambo, Nicholas M.
[J]. ASIAN-PACIFIC ECONOMIC LITERATURE, 2015, 29 (01) : 47 - 61

← 1 2 3 4 5 →