The price discovery role of day traders in futures market: Evidence from different types of day traders

Scott Fung*, Shih Chuan Tsai

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

Using proprietary account-level transaction data in the futures market where day traders are self-declared ex ante, this study investigates whether day traders enhance price discovery at the market level. From a natural classification of day traders, we find that heterogeneous day traders have differential effects on price discovery. Self-declared day traders, who benefit from low margin requirement, do not improve price discovery measured by information share. In contrast, non-declared traders, who are not self-declared as day traders, improve price discovery. Their positive impacts on price discovery are particularly significant during periods of high volatility and arrival of new information. Overall, a margin stimulating policy may encourage more day trading, but may also attract overconfident investors, especially inexperienced ones, and who do not enhance price discovery.

原文英語
頁(從 - 到)53-77
頁數25
期刊Journal of Empirical Finance
64
DOIs
出版狀態已發佈 - 2021 十二月

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

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