Earticle

초록

영어

We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as irrational contrarian traders. We also present consistent evidence to show that most individual day traders provide market liquidity by reducing the bid-ask spread, temporary price volatility and the temporal price impacts. Our results, which are consistent with the experimental results of Bloomfield et al. (2009), provide no support for the general criticism that day trading destabilizes the market while also exacerbating market volatility.

목차

ABSTRACT
 1. INTRODUCTION
 2. LITERATURE REVIEW AND HYPOTHESIS DEVELOPMENT
 3. DATA AND METHODOLOGY
  3.1 Data
  3.2 Empirical Models
  3.3 Variable Measures
 4. EMPIRICAL RESULTS
  4.1 Trading Strategies and Profits
  4.2 Market Liquidity
  4.3 Market Volatility
 5. ROBUSTNESS CHECKS
  5.1 Alternative Methods of Identifying Trading Strategies
  5.2 Alternative Measures of Transitory Volatility
 6. CONCLUSIONS
 REFERENCES
 Table
 APPENDIX

키워드

저자

• Robin K. Chou [ Professor of Finance, College of Commerce, National Chengchi University, Taipei, Taiwan ]
• George H. K. Wang [ Research Professor of Finance, School of Management, George Mason University, Fairfax, VA, USA ]
• Yun-Yi Wang [ Assistant Professor of Finance, Feng Chia University, Taichung, Taiwan ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330