Who is the Winner? Trading Behavior and Performance for Major Types of Traders-Evidence from Taiwan's Futures Market

Teng-Yuan Cheng ； Chao-Hsien Lin ； Shaung-Shii Juang

《Asia Pacific Management Review》 12卷1期 (2007/02) Pp. 13-21

https://doi.org/10.6126/APMR.2007.12.1.02

並列摘要

By analyzing a unique data set provided by the Taiwan Futures Exchange (TAIFEX), we find that the individual traders and futures dealers are positive feedback traders while foreign investors tend to engage in negative feedback trading (value buyer). The foreign investors and security dealers are good market timers in the Taiwan futures market and earn significant profits. The individual traders, in contrast, lose a significant amount of money in the futures market. The cumulative profit analysis shows during this study period that foreign investors earn about 600 million NTD and the individual trader loses about one billion NTD.

並列關鍵字

Feedback trading ； Market timing ability ； Foreign investor ； Individual trader ； Cumulative performance

參考文獻

Bohn, H.,Tesar, L.(1996).U.S. equity investment in foreign markets: Portfolio rebalancing or return chasing.American Economic Review.86,77-81.

Chou, S. R.(2002).Do institutional investors` net buy-and-sell information provides short-term profitable opportunities in the Taiwan stock market?.Unpublished Master Thesis. National Dong Hwa University.

Grinblatt, M.,Titman, S.,Wermers, R.(1995).Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.American Economic Review.85,1088-1105.

Working paper

Working paper