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Day Trader Behavior and Performance: Evidence from Taiwan Futures Market

Author

Listed:
  • Teng Yuan Cheng
  • Chao Hsien Lin
  • Hungchih Li
  • Syouching Lai
  • Kerry A. Watkins

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.

Suggested Citation

  • Teng Yuan Cheng & Chao Hsien Lin & Hungchih Li & Syouching Lai & Kerry A. Watkins, 2016. "Day Trader Behavior and Performance: Evidence from Taiwan Futures Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(11), pages 2495-2511, November.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:11:p:2495-2511
    DOI: 10.1080/1540496X.2016.1172205
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    Cited by:

    1. Han Ching Huang & Yong Chern Su & Wei-Shen Chen, 2017. "U.S. Quantitative Easing Policy Effect on TAIEX Futures Market Efficiency," Applied Economics and Finance, Redfame publishing, vol. 4(4), pages 94-109, July.
    2. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "Does proprietary day trading provide liquidity at a cost to investors?," International Review of Financial Analysis, Elsevier, vol. 68(C).

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