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The opposite disposition effect: Evidence from the Korean stock index futures market

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  • Eom, Yunsung

Abstract

This paper examines the trading behavior of investors with respect to prospect theory from an intraday analysis. Using a unique data set of all trades on the Korean stock index futures market, we find that investors are more likely to hold losers longer than winners under a critical point, but to hold winners longer than losers over the critical point. Our finding suggests that the disposition effect under a critical point and the opposite of the disposition effect over the critical point play an important role in liquidation decisions.

Suggested Citation

  • Eom, Yunsung, 2018. "The opposite disposition effect: Evidence from the Korean stock index futures market," Finance Research Letters, Elsevier, vol. 26(C), pages 261-265.
  • Handle: RePEc:eee:finlet:v:26:y:2018:i:c:p:261-265
    DOI: 10.1016/j.frl.2018.02.004
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    References listed on IDEAS

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    More about this item

    Keywords

    Prospect theory; Disposition effect; Opposite disposition effect; Liquidation decisions;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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