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Trading Patterns and Performance of Trader Types in Taiwan Futures Market

Author

Listed:
  • Chao-Hsien Lin

    (Department of Business Administration, National Cheng Kung University and Diwan College of Management, No. 1, Ta-Hsueh Road, Tainan 701, Taiwan, R.O.C.)

  • Hsinan Hsu

    (Department of Finance, Southern Taiwan University of Technology, No. 1, Nan-Tai Street, Yung Kang City, Tainan, Taiwan, R.O.C.)

  • Chwan-Yi Chiang

    (Department of Business Administration, National Cheng Kung University, No. 1, Ta-Hsueh Road, Tainan 701, Taiwan, R.O.C.)

Abstract

By analyzing the behavior and performance of trader types in the Taiwan futures market, we find that the foreign investors, futures dealers and security dealers are positive feedback traders, whereas individuals are contrarians. Evidence shows that the foreign investors and security dealers earn significant profits. We conclude that they are information-based traders. Instead, the individuals and futures traders perform poorly. However, weak evidence reveals that futures dealers are behavioral-based traders. As it is also reported, the cumulative performance demonstrates that foreign investors are the clear winners and individuals are the clear losers in the Taiwan futures market.

Suggested Citation

  • Chao-Hsien Lin & Hsinan Hsu & Chwan-Yi Chiang, 2005. "Trading Patterns and Performance of Trader Types in Taiwan Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 217-234.
    • Handle: RePEc:wsi:rpbfmp:v:08:y:2005:i:02:n:s0219091505000403
    DOI: 10.1142/S0219091505000403
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    Citations

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    Cited by:

    1. Hou, Yang & Li, Steven, 2014. "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 319-337.
    2. Qin Wang & Jun Zhang, 2015. "Individual investor trading and stock liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 45(3), pages 485-508, October.
    3. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
    4. Wei-Kuang Chen & Ching-Ting Lin & Cheng-Yi Shiu, 2019. "Price discovery and price leadership of various investor types: evidence from Taiwan futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 601-631, August.
    5. Edward Chow & Chung-Wen Hung & Christine Liu & Cheng-Yi Shiu, 2013. "Expiration day effects and market manipulation: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 441-462, October.
    6. Michael Bleaney & Zhiyong Li, 2016. "A new spread estimator," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 179-211, July.

    More about this item

    Keywords

    Information-based trader; behavioral-based trader; feedback trading; market timing ability; cumulative performance;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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