Do Day-traders Destabilize the Market? : The Case of the KOSPI200 Futures Market

We analyze the trading records of 25 day-traders from a brokerage firm to explore how day-traders trade and how their trades affect futures prices. We find evidence that day-traders herd and follow positive feedback trading strategies. Day-traders trade with positive feedback within 3 minutes before they place a buy or a sell order. Even though day-traders are often blamed to destabilize the financial market, neither herding nor positive feedback trading necessarily destabilize prices. When we investigate the impact of heavy volume of orders by day-traders on futures prices during the day, no convincing evidence is found that day-traders destabilize prices in the financial markets. On the contrary, they quickly catch up the signal of price changes and spread the information by placing sell or buy orders.
Publisher
한국증권학회
Issue Date
2005
Language
KOR
Citation

한국증권학회 KSA(Korean Secutiyies Association) 학술발표회, pp.1 - 34

URI
http://hdl.handle.net/10203/5419
Appears in Collection
MT-Conference Papers(학술회의논문)
Files in This Item
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