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.
학회소식
논문게재현황
[2005년 제 2차] Do Day-traders Destabilize the Market? : The Case o
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게시일 :
2005-06-03