Day Trader Behavior and Performance: Evidence from Taiwan Futures Market

Teng Yuan Cheng, Chao Hsien Lin, Hungchih Li, Syouching Lai and Kerry A. Watkins

Emerging Markets Finance and Trade, 2016, vol. 52, issue 11, 2495-2511

Abstract: By using a unique data from the Taiwan futures market to identify each trader’s trading records and focusing on the high-frequency day traders who trade at least 90 days over the sample year, this study closely examines their behaviors and performance. Day traders’ performances are “risk-adjusted” and analyzed to identify behavioral biases and the resulting impact on performance. There is no evidence found that trading too much is detrimental to investment performance. The high-frequency day traders are more aware of the danger of behavioral biases and are as a result less prone to the disposition effect. Contrary to expectations, day traders in my study are shown to be non-loss averse. Most of our sample except for the highest performance quintile follow a momentum strategy.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:52:y:2016:i:11:p:2495-2511

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DOI: 10.1080/1540496X.2016.1172205

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