| Summary: | 碩士 === 國立政治大學 === 財務管理研究所 === 102 === When an investor buys and sells the future on the same day, he was made a day trade. This thesis studies the performance of day trades in the Taiwan Furtures Exchange(TAIEX) for the period between July 2006 and December 2006. Day trading accounts for 74.71% of total trading activities, of which individual investors account for 66.68% of the day trading volume. The results showed that sell and then buy day trading can earn more profits than buy then sell day trading, about 40.16% of the sell and then buy day trading can earn more profits than market return. In aggregate, day traders earn mean gross profits(before transaction costs) of $NT 199 per transaction, but net losses(after a reasonable accounting for transaction costs) of $NT 111 per transaction. After we categorize day traders, we find that about 52.23% of the indiviual investers can profit by day trading activities, and only foreign investors can earn sufficient profits to cover transaction costs.
To analyze the performed better investers, we find that their average trading volume only have 12.65 within half year, they don’t tend to sell and then buy day trading or buy then sell day trading, but they tend to engage one kind of trading in one day, and sell and then buy day trading can earn more profits than buy then sell day trading. Their trading time is longer the others, about 91 to 96 minutes, other traders’ trading time only about 48-50 minute.
Overall, the evidence suggests that market returns、trading volume、trading time and past profitablilty have a strong relation with subsequent returns, day traders who historically earned profits continue to earn profits. The statistical power of sell and then buy regression model is stronger than buy then sell regression model.
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