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Intraday disposition effect of day traders and its relationship with investment performance: evidence from the KOSPI 200 futures market

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  • Yunsung Eom

Abstract

This paper investigates the intraday disposition effect of day traders and its relationship with investment performance. Using a unique data set from the KOSPI 200 futures market, we find that day traders are reluctant to close losing day trades and that this behaviour has a negative relationship with investment performance. In most cases, the disposition effect is mitigated as the closing of the trading day approaches. However, successful day traders show that the disposition effect in the afternoon is slightly greater than that in the morning, which indicates a lower possibility of compulsory loss realization as the market closes. Our findings imply that the investment performance of day traders is positively related to minimizing the realization of compulsory loss near market closures.

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  • Yunsung Eom, 2020. "Intraday disposition effect of day traders and its relationship with investment performance: evidence from the KOSPI 200 futures market," Applied Economics Letters, Taylor & Francis Journals, vol. 27(14), pages 1194-1199, July.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:14:p:1194-1199
    DOI: 10.1080/13504851.2019.1676374
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    Cited by:

    1. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.

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