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An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions

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  • Cheng, Teng Yuan
  • Lee, Chun I
  • Lin, Chao Hsien

Abstract

We analyze how gender and age, internal characteristics of retail futures traders—one that remains fixed while the other changes over a lifetime—and the security being traded and bull–bear market conditions, two external factors, are related to the disposition effect by separately tracking their trade-by-trade transaction histories over a period of close to six years on the Taiwan Futures Exchange (TAIFEX). We show that women and mature traders, compared with their male and younger counterparts, exhibit a stronger disposition effect. The effect is also stronger among traders who trade financial-sector futures contracts than among those who trade electronic-sector futures contracts. We further demonstrate that a bear market sees a stronger disposition effect.

Suggested Citation

  • Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien, 2013. "An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 195-213.
  • Handle: RePEc:eee:empfin:v:21:y:2013:i:c:p:195-213
    DOI: 10.1016/j.jempfin.2013.01.003
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    Cited by:

    1. Muhl, Stefan & Talpsepp, Tõnn, 2018. "Faster learning in troubled times: How market conditions affect the disposition effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 226-236.
    2. Marco Pleßner, 2017. "The disposition effect: a survey," Management Review Quarterly, Springer, vol. 67(1), pages 1-30, February.
    3. Chuang, Yi-Wei & Tsai, Wei-Che & Weng, Pei-Shih, 2020. "The impact of weather on order submissions and trading performance," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    4. Hincapié-Salazar, Juliana & Agudelo, Diego A., 2020. "Is the disposition effect in bonds as strong as in stocks? Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 46(C).
    5. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.

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    More about this item

    Keywords

    Behavioral finance; Disposition effect; Innate characteristics; External factor; Bull–bear markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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