Using a natural experiment of the futures market where day traders are self-declared ex ante, this paper investigates whether day traders can enhance price discovery at the market level. Self-declared day traders do not improve price discovery measured by information share; discretionary traders, who are not self-declared as day traders, improve price discovery. Heterogeneous day traders have differential effects on price discovery. Among self-declared day traders, foreign institutions increase information share; among discretionary day traders, individual investors increase information share. Last, day traders have more positive impacts on price discovery during periods of high volatility and arrival of new information.
|Effective start/end date||2017/08/01 → 2018/07/31|
- futures market
- day trading
- price discovery
- information share
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