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 |
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頁(從 - 到) | 1097-1117 |
頁數 | 21 |
期刊 | Journal of Futures Markets |
卷 | 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