재무연구 제 권 호 (2012년 9월)
Asian Review of Financial Research, Vol., No..
pp.707~758
pp.707~758
The Liquidity and Volatility Impacts of Day Trading by Individuals in the Taiwan Index Futures Market
Robin K. Chou Professor of Finance, College of Commerce, National Chengchi University, Taipei, Taiwan
George H. K. Wang Research Professor of Finance, School of Management, George Mason University, Fairfax, VA, USA
Yun-Yi Wang Assistant Professor of Finance, Feng Chia University, Taichung, Taiwan
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.
Robin K. Chou
George H. K. Wang
Yun-Yi Wang
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.
