Korean J Financ Stud Search

CLOSE


Korean Journal of Financial Studies 2012;41(5):677-704.
Published online December 31, 2012.
Analysis of Day Trading Strategy on the ETF Market
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


ABOUT
BROWSE ARTICLES
EDITORIAL POLICY
FOR CONTRIBUTORS
Editorial Office
6F, Korea Financial Investment Association Building
143, Uisadangdaero, Yeongdeungpo-gu, Seoul 07332, Korea
Tel: +82-2-783-2615    Fax: +82-2-783-6539    E-mail: office@e-kjfs.org                

Copyright © 2022 by Korean Securities Association.

Developed in M2PI

Close layer
prev next