Discipline of Finance

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

Professor George H.K. Wang, George Mason University, Fairfax, Virginia, USA

21st Jan 2014  11:30 am - Room 214/215 H69

Abstract
Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as irrational contrarian traders. We also present consistent evidence to show that most individual day traders provide market liquidity by reducing the bid-ask spread, temporary price volatility and the temporal price impacts. Our results, which are consistent with the experimental results of Bloomfield et al. (2009), provide no support for the general criticism that day trading destabilizes the market while also exacerbating market volatility.

Speaker
George H. K. Wang received his PhD in economics and statistics from Iowa State University. Prior to join George Mason University, he was Deputy Chief Economist, Director of Market Research at U.S. Commodity Futures Trading Commission. Wang also served as Senior Financial Economist and Econometrician at Federal Home Loan Bank Board. In summer, 2006 and 2007, Wang was a Visiting Professor of Finance in the Faculty of Business and Economics at the University of Sydney in Sydney, Australia and Visiting Scholar sponsored by Taiwan National Science Council to National Central University, Jhongli, Taiwan in July 2007. Wang's research and teaching interests include derivatives and risk management, applied time series and financial econometrics, empirical market microstructure. He has published more than thirty papers in major refereed journals in the areas of derivative markets, applied time series, econometrics, mortgage and housing markets and transportation. Wang is an elected ordinary member of International Statistical Institute and on the editorial board of the Journal of Futures Markets.

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