期刊論文
| 學年 | 111 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2023-03-27 |
| 作品名稱 | The impact and profitability of day trading following the relaxation of day trading restrictions in Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Wan-Hsiu Cheng, Yuhsin Chen, Paoyu Huang, Yensen Ni, Mei-Chu Liang |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Heliyon 9(4) |
| 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. |
| 關鍵字 | Day trading;Profitability;Day trading volume;VIX;Stock price volatility;Day trading relaxation |
| 語言 | en_US |
| ISSN | 2405-8440 |
| 期刊性質 | 國外 |
| 收錄於 | SCI ESCI Scopus |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122922 ) |