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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
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
저자정보
참고문헌
자료제공 : 네이버학술정보