| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | Chou, Robin K. ; Wang, George H. K. ; Wang, Yun-Yi | en_US |
| dc.creator (作者) | 周冠男 | zh_TW |
| dc.date (日期) | 2014.02 | en_US |
| dc.date.accessioned | 21-Mar-2014 16:39:02 (UTC+8) | - |
| dc.date.available | 21-Mar-2014 16:39:02 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Mar-2014 16:39:02 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64811 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format.extent | 1917529 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Futures Markets, Issue 34 | en_US |
| dc.subject (關鍵詞) | Individuals; Day trading; Foreign institutional trading; Trading strategies; Liquidity; Volatility | en_US |
| dc.title (題名) | The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.21665 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.21665 | en_US |
