自我宣告之當沖交易人對期貨市場價格發現之影響

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.