投资者赌博偏好对股价崩盘风险的影响研究

As an extreme risk, stock price crash has a serious threat to the interests of investors and the stability of financial markets. While the existing studies have mainly focused on the internal factors of company or the institutional and environmental factors, there is less attention paid to the investor irrationality. This project intends to investigate the stock price crash from the view of gambling preference. First, we will develop more direct and dynamic measures of gambling preference, and on this basis we can further study its corresponding behavior characteristics according to the theories of risk attitude and skewness. Secondly, we will study the influence of gambling preference on asset pricing, and then study its influence on stock price crash risk and the corresponding mechanism. Finally, from the perspective of gambling preference, we study the contagion of stock price crash risk, and how this contagion causes stock market crash. This project attempts to deeply understand the gambling preference behavior hidden behind the recent crash process with high leverage ratio, and the underlying mechanism of its effect on stock price crash.

股价崩盘风险作为一种极端风险，严重威胁投资者的利益和金融市场的健康稳定运行。现有的研究主要集中在公司内部因素和市场制度环境因素上，投资者非理性视角下的相关研究还比较少见。本项目拟从投资者赌博偏好这一非理性因素出发来研究股价崩盘风险问题：首先对赌博偏好进行更为直接的、动态的度量，并在此基础上基于风险态度理论和偏度理论等来研究赌博偏好的行为特征；其次，研究赌博偏好对资产价格行为的影响，并进一步重点研究其对股价崩盘风险的影响及其相应机制；最后，从赌博偏好的视角来研究股价崩盘风险的传染问题，以及这种传染如何导致股市崩盘。本项目试图从投资者赌博偏好这一非理性层面，来更为深刻的理解近年股价崩盘风险中伴随的以“高杠杆”为外在特征的赌博偏好行为，及其对股价崩盘风险的内在影响机制。

股价崩盘风险严重威胁到了金融系统的稳定运行。个股的崩盘会在市场间扩散，最终导致整个股市的崩盘。从投资者角度，尤其是从投资者非理性角度研究股价崩盘风险的成果较少。本项目基于中国股市，从投资者赌博偏好的非理性视角来研究股价崩盘风险问题。首先深化了对赌博偏好度量方法的研究，其次研究了赌博偏好以及COVID-19大流行对股价崩盘风险的影响及其机制，最后研究股价崩盘风险的溢出和传染问题。研究发现：赌博偏好增加了人们进入股票市场并进行交易的倾向，但赌博偏好会显著降低股市收益率；COVID-19大流行增加了股市崩盘的风险，并且恐惧情绪会加剧这种风险；崩盘风险在碳市场与股票市场间、加密货币市场与股票市场间都可能存在溢出效应。本项目有助于深化我们对于股价崩盘风险的认识，能够为监管层在制度建设、投资者教育等方面提供相应的政策建议，从而更加有效的防范崩盘风险，保障金融市场的健康稳定运行。