Year: 2024
Type: article
Abstract: ABSTRACT This study explores whether frequent trading is profitable to investors in an emerging stock index futures market. Our analyses, based on long‐term data from 2010 to 2023, indicate that the effect of trading frequency differs across investor types and market conditions. Only some domestic institutions gain additional profits from more frequent trading, and such a tendency is apparent when the futures price falls and when the futures market volatility is low. Foreign investors experience losses as they trade more when the market is bearish and are frequently net long. The performance of domestic individuals does not depend on their trading frequency in general; however, they lose more from trading when the market is bearish and when the market is less volatile.
Source: Journal of Futures Markets
DOI: 10.1002/fut.22552
Authors: Doojin Ryu, Robert I. Webb, Jinyoung Yu
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
Funder: Sungkyunkwan University
OpenAlex ID: W4402414186