NTU Management Rev i ew Vol . 31 No. 3 Dec. 2021, 85-159 DOI:10.6226/NTUMR.202112_31(3).0003 85 The Study of Gambling Preference, Trading Pattern and Excess Comovement in Lottery-Like Stock Returns 賭博偏好、交易型態與樂透股超額報酬共變的關聯性 Zi-Mei Wang, Department of Finance, Ming Chuan University 王子湄/ 銘傳大學財務金融學系 Nan-Hsuan Lou, Bank of Kaohsiung 樓楠萱 / 高雄銀行 Received 2020/9, Final revision received 2021/5 Abstract The study investigates whether stock trading made by institutional and retail investors results in excess return comovement of lottery-like stocks in the Taiwanese stock market. Order-level data, such as order ratio, immediacy ratio, and order flow comovement, are used to determine trading patterns in the market, and direct evidence is provided to demonstrate that individual investors are the main cause of excess return comovement of lottery-like stocks. We find that (1) individual investors concentrate their trading on lottery-like stocks, make frequent trades, place aggressive orders, and have correlated order flows for various lottery-like stocks. A high level of comovement in retail investors’ order flows for lottery-like stocks is associated with a high level of comovement among the stocks’ excess returns. (2) Although institutional investors also trade lottery-like stocks, their order ratio is lower, and their trading reduces the excess return comovement of lottery-like stocks. (3) When overall market behavior leans toward speculation (e.g., in a bullish market, paying little attention to the lottery market, during the Chinese New Year period, or periods of economic boom), retail investors exhibit a high demand for lotterylike stocks, which in turn strengthens the excess return comovement of these stocks. (4) Retail investors’ trading of lottery-like stocks and the return comovement of these stocks also increase during months when financial statements are released. However, gambling trading of individual stocks does not affect the expenditure on research and development or the quality of financial statements. 【Keywords】 gambling preference, excess return comovement, order flow comovement, lottery-like stock, order submission behavior 摘 要 本文探討臺灣股市法人與散戶交易是否造成樂透股超額報酬共變，以日內逐筆委託衡 量交易型態，包含委託比率、急單比率與買賣超共變，對於「散戶是造成樂透股超額 報酬共變主要來源」提供直接證據。我們發現：（1）散戶交易集中在樂透股，不僅 交易頻繁、下單積極，會對不同樂透股一起買賣超，當散戶對樂透股買賣超共變增加， 樂透股超額報酬共變會提高。（2）有些法人也會交易樂透股，但下單比率低，而且 法人交易會減弱樂透股超額報酬共變。（3）當整體市場投機氛圍提高（如市場情緒 領域主編：黃泓人教授
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