The Survival and Elimination Rules of Heavy Traders -- Using Taiwan Index Futures

Autor: Li-chih Chen, 陳立智
Rok vydání: 2008
Druh dokumentu: 學位論文 ; thesis
Popis: 96
These years, there are many studies of behavioral finance discussing the anomalies in the financial market and overconfidence is one of it. In order to know how heavy traders survive in the market, we analyze individual traders’ trading data of Taiwan Index Futures from Taiwan Futures Exchange (TAIFEX). We separate our samples into two groups. One group is those who keeps trading in our sample period and we call them「survivors」. Another group is those who get out of market in the later period and we call them 「Non-survivors」. Through the regression analysis, we analyze how profit affects risk and the connection between them. Besides, we design return-reverse ratio and loss-to-profit ratio to see the return reversal of individual traders. Finally, we want to find the trading strategy of these traders. From the empirical results, we find that a large part of traders in our samples will increase their risk tolerance and trading volume following trading loss. Besides, the results show that those who earn a positive net realized gain, compared with those who earn a negative net realized gain, have better risk control ability such as buying new contracts at lower price and stop-loss strategy. However, we also find that only a small proportion of traders in our samples have specific trading strategy. Finally, our result find few evidences to prove that overconfidence is the main reason for the huge trading volume of these traders.
Databáze: Networked Digital Library of Theses & Dissertations