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

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  • Tingting Zhang
  • Mengyao Song
  • Kaixin Li
  • Zhifeng Liu

Abstract

Using the abnormal search volume intensity for lottery-related keywords from the Baidu search engine, we construct a daily and provincial lottery preference index in China and re-examine the relationship between lottery preference and stock market return. Consistent with the previous studies, we find that when lottery preference is high, stocks will earn a positive return in the short-run, but this effect will reverse in the next few periods. We also have some new findings: (1) the total effect of lottery preference is mainly driven by the global preference but not the local preference; (2) the positive effects of the global part will last longer among regions with stronger lottery preference, and only in these regions, local lottery preference has a positive impact in the short-run. (3) there is an asymmetric effect that during the bull market, the short-term positive effect of lottery preference persists longer, and it delays the reversal process.

Suggested Citation

  • Tingting Zhang & Mengyao Song & Kaixin Li & Zhifeng Liu, 2021. "Lottery preference and stock market return: Chinese evidence using daily and provincial data," Applied Economics Letters, Taylor & Francis Journals, vol. 28(18), pages 1582-1588, October.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:18:p:1582-1588
    DOI: 10.1080/13504851.2020.1834496
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    Cited by:

    1. Wu, JunFeng & Zhang, Chao & Chen, Yun, 2022. "Analysis of risk correlations among stock markets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Zhifeng Liu & Kaixin Li & Tingting Zhang, 2023. "Information diversity and household portfolio diversification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3833-3845, October.

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