國?高雄第一科技大學財務管?學系;國?暨南國際大學財務?融學系;Department of Finance, National Kaohsiung First University of Science and Technology;Department of Banking and Finance, National Chi Nan University
When an investor buys and sells the same stock on the same day, he has made a day trade. Day trading by retail investors has big influence in Taiwan stock market – for over 20% of total volume. We analyze the impact of stock return volatility on the performance and the preference of retail day traders in Taiwan from 1995 through 1999, and find the following results: (1) In average, individual day traders lose money from day trading and can’t earn money through the pattern of stock volatility. (2) We further group individual day traders into winners and losers and find that only winners are able to earn money through the pattern of stock volatility. Additionally, losers lose more money when they day trade more high volatility stocks and their preference of stock volatility grow stronger when they got better performance previously, which indicates that their performance suffer by their overconfidence.
