Do retail investors gamble more during lockdown?

Abstract Retail investors are known to favor stocks with lottery‐like features and trade too much. Less is known about their intertemporal demand and risk‐taking behavior in lottery‐type stocks. We use intraday transaction data between September 2019 and June 2020 from the Stock Exchange of Thailand to test how individual's risk attitude changes with respect to decline in their wealth prospects during the COVID‐19 lockdown. The behavior of the investors supports a reference dependent preference. Confronted with lowered wealth prospects, retail investors substantially reduce their underweighting in nonlottery stocks while increasing overweighting and turnover frequency in lottery stocks resulting in deteriorating portfolio performance.