Review of Financial Studies, July 2015, v. 28, iss. 7, pp. 2128-66.

个人投资者把交易当作一项有趣和刺激的赌博活动了吗？来自重复的自然实验的证据

作者：Xiaohui Gao (Finance Department, Smith Business School, University of Maryland ), Tse-Chun Lin ( Faculty of Business and Economics, University of Hong Kong )

摘要：本文假设个人投资者把交易当作一项有趣和刺激的赌博活动，这意味着交易活动和可选择的赌博机会间存在替代关系。为了检验这一假设，我们研究了台湾地区的乐透头奖和个人投资者交易。当头奖超过5亿台币时，个人投资者偏好的股票交易量减少了5.2%至9.1%，有博彩性质的股票交易量减少了6.8%至8.6%。个人买入数量的减少与卖出数量的减少没有明显的统计学差异。大头奖与有着高波动敏感性的期权交易数量的减少有关。

Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments

Xiaohui Gao (Finance Department, Smith Business School, University of Maryland ), Tse-Chun Lin ( Faculty of Business and Economics, University of Hong Kong )

ABSTRACT

We hypothesize that individual investors treat trading as a fun and exciting gambling activity, implying substitution between this activity and alternative gambling opportunities. To examine this hypothesis, we study the lottery jackpots and the trading of individual investors in Taiwan. When the jackpots exceed 500 million Taiwan dollars, the trading volume decreases between 5.2% and 9.1% among stocks preferred by individual investors and between 6.8% and 8.6% among lottery-like stocks. The decline in individual buy volume is statistically indistinct from the decline in sell volume. Large jackpots are associated with less trading in options with high sensitivity to volatility.

原文链接：http://rfs.oxfordjournals.org/content/28/7/2128.abstract

翻译：黄怡文