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題名 Overconfident Individual Day Traders: Evidence from the Taiwan Futures Market
作者 郭維裕;林則君
Kuo,Wei-Yu ; Lin,Tse-Chun
貢獻者 國貿系
關鍵詞 Overconfidence; Index futures; Day traders; Individual investors; Learning
日期 2013.09
上傳時間 19-Dec-2013 12:04:10 (UTC+8)
摘要 A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin. Because we can identify day traders ex ante, we have a laboratory to explore trading behavior without the contamination of potential behavioral biases. Our results show that the 3470 individual day traders in the sample incur on average a significant loss of 61,500 (26,700) New Taiwan dollars after (before) transaction costs over October 2007–September 2008. This implies that day traders are not only overconfident about the accuracy of their information but also biased in their interpretations of information. We also find that excessive trading is hazardous only to the overconfident losers, but not to the winners. Last, we provide evidence that more experienced individual investors exhibit more aggressive day trading behavior, although they do not learn their types or gain superior trading skills that could mitigate their losses.
關聯 Journal of Banking and Finance, 37(9), 3548-3561
資料類型 article
DOI http://dx.doi.org/10.1016/j.jbankfin.2013.04.036
dc.contributor 國貿系en_US
dc.creator (作者) 郭維裕;林則君zh_TW
dc.creator (作者) Kuo,Wei-Yu ; Lin,Tse-Chunen_US
dc.date (日期) 2013.09en_US
dc.date.accessioned 19-Dec-2013 12:04:10 (UTC+8)-
dc.date.available 19-Dec-2013 12:04:10 (UTC+8)-
dc.date.issued (上傳時間) 19-Dec-2013 12:04:10 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/62730-
dc.description.abstract (摘要) A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin. Because we can identify day traders ex ante, we have a laboratory to explore trading behavior without the contamination of potential behavioral biases. Our results show that the 3470 individual day traders in the sample incur on average a significant loss of 61,500 (26,700) New Taiwan dollars after (before) transaction costs over October 2007–September 2008. This implies that day traders are not only overconfident about the accuracy of their information but also biased in their interpretations of information. We also find that excessive trading is hazardous only to the overconfident losers, but not to the winners. Last, we provide evidence that more experienced individual investors exhibit more aggressive day trading behavior, although they do not learn their types or gain superior trading skills that could mitigate their losses.en_US
dc.format.extent 522168 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Banking and Finance, 37(9), 3548-3561en_US
dc.subject (關鍵詞) Overconfidence; Index futures; Day traders; Individual investors; Learningen_US
dc.title (題名) Overconfident Individual Day Traders: Evidence from the Taiwan Futures Marketen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jbankfin.2013.04.036en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jbankfin.2013.04.036en_US