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

Tingting Zhang, Mengyao Song, Kaixin Li and Zhifeng Liu

Applied Economics Letters, 2021, vol. 28, issue 18, 1582-1588

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.

Date: 2021
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DOI: 10.1080/13504851.2020.1834496

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