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Korean Journal of Financial Studies 2010;39(3):367-395.
Published online September 30, 2010.
Day Traders` Performance Persistence and Market Efficiency
Kyung Suh Park, Young Hyun Cho
데이트레이더의 성과지속성과 시장효율성
박경서, 조영현
Abstract
We propose an empirical test of weak-form market efficiency through investigating persistence in individual day traders` performance. Individual day traders buy and sell stocks repetitively within the same trading day, and have a propensity to minimize inventory of the stocks by the end of each trading days. These characteristics support the view that individual day traders base their trading decisions on technical analysis which uses past market data such as stock prices and trading volumes. According to the weak-form efficient market hypothesis, no investor can persistently achieve superior performance by trading based on historical market data. Therefore, we can reject the weak-form market efficiency if there exist some individual day traders who persistently achieve superior performance and if the proportion of superior performers exceeds some cutoff level. We use a simple performance distribution to address the statistical measure of persistent performance and the ratio of persistent superior investors, to test the efficient market hypothesis. We find strong evidence of weak-form market inefficiency. The ratio of day traders achieving persistent performance is exceedingly high, which cannot be expected to be observed in an efficient stock market.
Key Words: 데이트레이더,성과분포,성과지속성,이상현상,효율적시장가설,Anomaly,Day Trader,Distribution of Performance,Efficient Market Hypothesis,Performance Persistence


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