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

個人投資者把交易當作一項有趣和刺激的賭博活動了嗎？來自重複的自然實驗的證據

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：本文假設個人投資者把交易當作一項有趣和刺激的賭博活動，這意味着交易活動和可選擇的賭博機會間存在替代關系。為了檢驗這一假設，我們研究了台灣地區的樂透頭獎和個人投資者交易。當頭獎超過5億台币時，個人投資者偏好的股票交易量減少了5.2%至9.1%，有博彩性質的股票交易量減少了6.8%至8.6%。個人買入數量的減少與賣出數量的減少沒有明顯的統計學差異。大頭獎與有着高波動敏感性的期權交易數量的減少有關。

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.

原文鍊接：http://rfs.oxfordjournals.org/content/28/7/2128.abstract

翻譯：黃怡文