Do individual currency traders make money?

Boris S. Abbey and John A. Doukas

Journal of International Money and Finance, 2015, vol. 56, issue C, 158-177

Abstract: Using a unique online currency transactions dataset, we examine the performance, trading activity, drawdown, and timing abilities of individual currency traders. Evidence from 428 accounts during the 2004–2009 period shows that currency traders earn positive abnormal returns, even after accounting for transaction costs. Additionally, the results reveal that day traders not only trade more frequently than non-day traders, but also outperform them in terms of raw, a passive benchmark and risk-adjusted returns. Finally, sorts on trade activity, measured as the mean number of trades per day per account, and account turnover, show a positive association between performance and trade activity.

Keywords: Individual currency traders; Performance; Trading activity; Drawdowns; Timing ability (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560614001624
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:56:y:2015:i:c:p:158-177

DOI: 10.1016/j.jimonfin.2014.10.003

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().