원문정보
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
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