CAJ | 학술논문

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。
중국고시자1991년건립이래이경주과료20다년，가시“고시도장설”의연비상류행。본문통과분석“채표형”고표화“비채표형”고표적수익차이래연구“고시도장설”。통과구건개고층면적채표형고표지수，본문발현채표형고표적수익솔비비채표형고표매년저10％～12％。공사규모、류동성、공사시부ST이급궤구지고비례가이조절채표형지수화고표수익솔지간적관계：대우나사규모교소、류동성교차、ST이급궤구지고비례교저적공사，채표형고표화비채표형고표적수익솔상차경대。진일보연구발현，규모、류동성、궤구지고비례이급공사시부ST주요시통과영향채표형고표적수익이발휘조절작용적，단병불회대비채표형고표적수익산생영향。종합이언，본문적발현설명도박의연시아국고민삼여고시적일개중요동궤，대아국고시영향심원。최후，본문재투자자교육화자본시장제도완선방면급출료일사정책건의。
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.