This paper uses Baidu search index，for the first time，to measure the degree of lottery preferences of investors in Chinese stock market，and from the overall perspective，studies the effect of investor lottery preferences on stock market returns and volatility. First，using the lottery sales data，the lottery preference index is proved to be effective. Second，the empirical study using a series of JuChao indices finds that lottery preferences will significantly reduce the one period lagged return. This effect is particularly evident in mediumand small-cap stocks. Further，lottery preference will significantly reduce the current volatility of small-cap stocks，and this effect is mainly reflected by the mobile terminal. The empirical results are proved to be robust using the Shanghai A Shares Series Index.