The impact and profitability of day trading following the relaxation of day trading restrictions in Taiwan.

doi:10.1016/j.heliyon.2023.e14939

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/125117

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題名:	The impact and profitability of day trading following the relaxation of day trading restrictions in Taiwan.
作者:	Ni, Yen-sen
關鍵詞:	Day trading;Profitability;Day trading volume;VIX;Stock price volatility;Day trading relaxation
日期:	2023-03-27
上傳時間:	2024-03-01 12:06:35 (UTC+8)
摘要:	The relaxation of day trading restrictions in Taiwan at the start of 2016 resulted in a significant increase in day trading volume, which piqued our interest in researching the impact and profitability of day trading, expected (unexpected) day trading, and day trading at high (low) levels of VIX using time series models, with the following key findings. First, we show that a high market trading volume triggers a high day trading volume resulting from liquidity markets that day traders prefer, but a high day trading volume does not trigger a high market trading volume resulting from speculative markets that other market participants don't prefer. Second, contrary to our perception, while the VIX index rises, day trading would be more profitable after the relaxation. We infer that a high VIX index may be accompanied by a volatile market, which may generate profits by widening the intraday spread of a day-tradable stock. Third, as compared with unexpected market trading volume, we reveal that unexpected day trading volume may be more unexpected than market trading volume, being more likely to enhance market volatility and stock returns. These impressive and interesting findings may not be disclosed before the relaxation, which may contribute to the existing literature.
關聯:	Heliyon 9(4),　e14939
DOI:	10.1016/j.heliyon.2023.e14939
顯示於類別:	[管理科學學系暨研究所] 期刊論文

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