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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/62730

    Title: Overconfident Individual Day Traders: Evidence from the Taiwan Futures Market
    Authors: 郭維裕;林則君
    Contributors: 國貿系
    Keywords: Overconfidence;Index futures;Day traders;Individual investors;Learning
    Date: 2013.09
    Issue Date: 2013-12-19 12:04:10 (UTC+8)
    Abstract: A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin. Because we can identify day traders ex ante, we have a laboratory to explore trading behavior without the contamination of potential behavioral biases. Our results show that the 3470 individual day traders in the sample incur on average a significant loss of 61,500 (26,700) New Taiwan dollars after (before) transaction costs over October 2007–September 2008. This implies that day traders are not only overconfident about the accuracy of their information but also biased in their interpretations of information. We also find that excessive trading is hazardous only to the overconfident losers, but not to the winners. Last, we provide evidence that more experienced individual investors exhibit more aggressive day trading behavior, although they do not learn their types or gain superior trading skills that could mitigate their losses.
    Relation: Journal of Banking and Finance, 37(9), 3548-3561
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.jbankfin.2013.04.036
    DOI: 10.1016/j.jbankfin.2013.04.036
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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