Earticle

초록

영어

We find that the disposition effect has an impact on market volatility and short-term return. Using a comprehensive data covering over 60,000 investors in the Korean futures market, we find that a higher disposition effect bias causes higher current and future market volatility from a daily analysis. These results hold after controlling trading volume, volatility persistence, potential endogeneity bias, and are robust to various volatility measures. We also find that the increased disposition effect in the long (short) position has a tendency to decrease (increase) asset prices over a short-term period. Our finding justifies the opinion that the disposition effect has an impact on market volatility and prices, and is in line with Kogan, Ross, Wang, and Westerfield (2006).

목차

Abstract
 1. Introduction
 2. Data and Methodology
  2.1 Korean Futures Market
  2.2 Data
  2.3 Measuring the Disposition Effect
  2.4 Hypothesis
 3. Time Series Properties of the Disposition Effect
  3.1. Daily Disposition Effect
  3.2. Intraday Disposition Effect
 4. Impact of the Disposition Effect on Market Volatility
  4.1. Contemporaneous Relationship between the Disposition Effect and Daily Price Volatility
  4.2. Relationship between the Disposition Effect and Future Daily Price Volatility
  4.3. VAR Analysis
  4.4. Robustness Check
 5. Impact of the Disposition Effect on Market Prices
 6. Conclusion
 Appendix. Calculating Trading Profit and Holding Time
 References

키워드

저자

• Hyuk Choe [ Seoul National University ]
• Yunsung Eom [ Seoul National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330