日內交易對台灣期貨市場之影響

This paper examines the impact of day trading on Taiwan’s futures market with respect to return volatility, price discovery and trading noise. Day traders, given their short investment horizon, are almost certainly speculators. If they are more (less) informed or skilled, or if they exhibit herding behavior, they may exert significant influences on the market. We also investigate the impact for various day trader groups categorized by investors’ identity. Given that empirical evidence on day trading is limited, this paper sheds new light on understanding the nature of day trading behavior and the impact of day trading on financial markets.