How different types of traders Behave in the Taiwan futures market

Hung Chih Li, Chao Hsien Lin, Teng Yuan Cheng, Syouching Lai

研究成果: Article同行評審

10 引文 斯高帕斯(Scopus)

摘要

This paper examines the heterogeneity of the disposition effect and its impact on profitability among three different types of traders, using complete trading data from Taiwan's futures market. More than 70% of the trading volume on this market comes from retail traders (RTs), with an additional 15% from foreign institutional traders (FIs) and proprietary traders (PTs). Both FIs and RTs exhibit the disposition effect whereas PTs do not, and FIs with a weaker disposition effect outperform RTs. This study provides evidence that RTs with the disposition effect tend to lessen the effect in the next period, exhibiting the phenomenon of mean reversion. While previous studies focus only on the static relationship between the disposition effect and profitability, ours explores the dynamic rather than the static behavior of RTs, providing a more complete and objective idea of their trading behavior. In addition, the positive relationship between the current disposition effect and prior profits suggests that the degree of the disposition effect increases when RTs have prior profits.

原文English
頁(從 - 到)1097-1117
頁數21
期刊Journal of Futures Markets
33
發行號12
DOIs
出版狀態Published - 2013 12月

All Science Journal Classification (ASJC) codes

  • 會計
  • 一般商業,管理和會計
  • 金融
  • 經濟學與計量經濟學

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