中国股票市场的赌博行为研究  

Is the Stock Market a Casino?

作　　者：李培馨[1] 刘悦[2] 王宝链[3] 

机构地区：[1]中央财经大学商学院 [2]清华大学五道口金融学院 [3]香港科技大学商学院

出　　处：《财贸经济》2014年第3期68-79,共12页Finance & Trade Economics

基　　金：国家自然科学基金"我国企业海外并购研究:双边政治关系的视角"(71302127)

摘　　要：中国股市自1991年建立以来已经走过了20多年，可是“股市赌场说”依然非常流行。本文通过分析“彩票型”股票和“非彩票型”股票的收益差异来研究“股市赌场说”。通过构建个股层面的彩票型股票指数，本文发现彩票型股票的收益率比非彩票型股票每年低10％～12％。公司规模、流动性、公司是否ST以及机构持股比例可以调节彩票型指数和股票收益率之间的关系：对于那些规模较小、流动性较差、ST以及机构持股比例较低的公司，彩票型股票和非彩票型股票的收益率相差更大。进一步研究发现，规模、流动性、机构持股比例以及公司是否ST主要是通过影响彩票型股票的收益而发挥调节作用的，但并不会对非彩票型股票的收益产生影响。综合而言，本文的发现说明赌博依然是我国股民参与股市的一个重要动机，对我国股市影响深远。最后，本文在投资者教育和资本市场制度完善方面给出了一些政策建议。It has been 20 years since the inception of the Chinese stock market. However, the market is still being criticized as a casino. This article compares the stock return performance between lottery type and non-lottery type stocks. Through constructing a lottery index for each stock, we find that the average return for lottery type stocks is 10% ~12% lower each year comparing with non-lottery type stocks. Firm size, liquidity, whether a company is an ST company and institutional holding moderate the relationship between our lottery index and future stock return. Specifically, we find that the relationship between our lottery index and future stock return is stronger among smaller stocks, illiquid stocks, ST stocks and stocks with lower institutional holding. Further analysis shows that the moderating role of firm size, liquidity, institutional holding and whether a stock is ST works mainly through its effect on lottery-type stocks rather than non-lottery stocks. Overall, our finding suggests that gambling is an important motivation that investors participate in thestock market, and the effect of gambling on Chinese stock market is profound.

关 键 词：股票市场 赌博行为 股市赌场说 

分 类 号：F832.51[经济管理—金融学] F224