Day Trader Behavior and Performance: Evidence from Taiwan Futures Market |
| |
Authors: | Teng Yuan Cheng Hungchih Li Syouching Lai Kerry A. Watkins |
| |
Affiliation: | 1. School of Finance, Nanjing Audit University, Nanjing, China;2. Graduate Institute of Finance, National Cheng Kung University, Tainan, Taiwan;3. Department of Accounting and Information, Chang Jung Christian University, Tainan, Taiwan |
| |
Abstract: | By using a unique data from the Taiwan futures market to identify each trader’s trading records and focusing on the high-frequency day traders who trade at least 90 days over the sample year, this study closely examines their behaviors and performance. Day traders’ performances are “risk-adjusted” and analyzed to identify behavioral biases and the resulting impact on performance. There is no evidence found that trading too much is detrimental to investment performance. The high-frequency day traders are more aware of the danger of behavioral biases and are as a result less prone to the disposition effect. Contrary to expectations, day traders in my study are shown to be non-loss averse. Most of our sample except for the highest performance quintile follow a momentum strategy. |
| |
Keywords: | day trader disposition effect loss aversion momentum trade too much |
|
|