Analysis of Day Trading Strategy on the ETF Market

Woo, Min Cheol; Choe, Hyuk

Korean Journal of Financial Studies 2012;41(5):677-704.
Published online December 31, 2012.

Min Cheol Woo, Hyuk Choe

데이트레이딩 전략의 수익성 분석

우민철, 최혁

Abstract

This paper examines the profitability of the day trading strategy and its sources in the Korean ETF market, Using the complete trading records from Jan 2005 to Jan 2012, We find that the day traders in ETF market consistently earn profit after transaction cost during the period, The profit relates to the low transaction cost as well as the strategy of selling at higher than average price. The cross-sectional results suggest that day trading strategy is more profitable for the stocks with lower average trading price and/or higher volatility. While day traders make money in the leverage ETF market, they do not in the inverse ETF market. This paper contributes to the understanding of day traders` strategy in the ETF markets by employing relatively recent data.

Key Words: Transaction Tax,Profit Ratio ETF,Profit Ratio,ETF,Daytrading,Arbitrage,차익거래,데이트레이딩,거래세