The Relationships between the Return and the Day Trading among Various Types of Day Traders: Taiwan Futures Market

摘要：

　　This research analyzed the relationship between transaction cost, strategy of trading and characteristics of trader, and the profitability of investment for five types of day traders-individual day traders, foreign investors, market makers, dealers and local institutional investors.The result from this study shows that the transaction cost will sharply damage the profitability of investment for all five types of day traders.The result also suggests that the trading strategies that traders can apply differ among different types of traders.To gain the positive rate of return, dealers may choose to conduct the strategy of day trading, while local institutional investors may choose to conduct the strategy of non-day-trading.The final result of this paper is that characteristics of traders influence the net profit differently.Individual day traders gain positive net profit from their trading experience and from not frequently conducting day trading.As for foreign investors and local institutional investors, high ratios of short selling might not create positive profit.

关键词： day trading futures market various traders

作者: Kuo Shewhuei Tu Tengtsai Chou Chiyi

作者单位: Department of Finance, Yunlin University of Science and Technology, Taiwan Graduate Institute of International Business, Taipei University, Taiwan

会议类型: 国际会议

会议名称: 2013 International Conference on Strategic Management(2013年战略管理国际会议)

会议地点: 成都

会议语种:英文

页码: 169-178

在线出版日期: 2013-12-15（万方平台首次上网日期，不代表论文的发表时间）