CAJ | 학술논문

文章使用Kumar（2009）提出的低股价、高特质波动率和高特质偏度识别股票的彩票特性，利用2010至2012年A股市场的大样本数据，实证分析了机构投资者的博彩偏好及对股价同步性的影响。结果表明，我国机构投资者存在明显的博彩偏好；且这种博彩偏好会提高股价波动的同步性程度。这一结论从博彩偏好的视角，为机构投资者有限理性造成的股价同步性的存在提供了新的证据。
문장사용Kumar（2009）제출적저고개、고특질파동솔화고특질편도식별고표적채표특성，이용2010지2012년A고시장적대양본수거，실증분석료궤구투자자적박채편호급대고개동보성적영향。결과표명，아국궤구투자자존재명현적박채편호；차저충박채편호회제고고개파동적동보성정도。저일결론종박채편호적시각，위궤구투자자유한이성조성적고개동보성적존재제공료신적증거。
Based on the lottery features( a low share price,hiGh idiosyncratic volatility and hiGh idiosyncratic skewness stock)proposed by Kumar(2009),this paper made an empirical analysis of the institutional investors’ bettinG preferences and the impact on the stock price synchronicity by usinG a larGe database of A—shares capital market of 2010—2012 . The result shows that institutional investors have siGnificant preference for stocks which have lottery features and their lottery preference induces stock price synchronicity. From the perspective of lottery prefer_ences,this conclusion provides new evidence that the stock price synchronicity exists due to bounded rationality of institutional investors.