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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/64811

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64811

Title:	The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market
Authors:	Chou, Robin K.;Wang, George H. K.;Wang, Yun-Yi 周冠男
Contributors:	財管系
Keywords:	Individuals;Day trading;Foreign institutional trading;Trading strategies;Liquidity;Volatility
Date:	2014.02
Issue Date:	2014-03-21 16:39:02 (UTC+8)
Abstract:	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.
Relation:	Journal of Futures Markets, Issue 34
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.21665
DOI:	10.1002/fut.21665
Appears in Collections:	[財務管理學系] 期刊論文

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