Individual investors surpass their reputation: Trading behaviour on the Polish futures market

2010 ◽  
Vol 34 (4) ◽  
pp. 480-492 ◽  
Author(s):  
Martin T. Bohl ◽  
Christiane Goodfellow ◽  
Jedrzej Bialkowski
Keyword(s):  
Futures Market ◽  
Individual Investors ◽  
Trading Behaviour

Empirical Study on the Maturity Structures of the Volatility in the KOSPI200 Index and Futures Returns

2006 ◽  
Vol 14 (2) ◽  
pp. 1-23
Author(s):  
Jong In Yoon
Keyword(s):  
Spot Market ◽  
Futures Market ◽  
Individual Investors ◽  
Foreign Investors ◽  
Volatility Clustering ◽  
Maturity Structure ◽  
Maturity Date ◽  
The Individual ◽  
Bivariate Garch Model ◽  
Samuelson Hypothesis

This study analyzes the maturity structure of the volatility in the KOSPI200 index and futures returns. Using bivariate GARCH model, we obtain the empirical evidences that the maturity structure of the volatility is U-shaped unlike the well-known Samuelson effect. Remarkably. U-shaped structures are found not only in the futures market but also in the spot market These evidences imply that returns are more volatile around tile futures maturity date in both markets. Some explanations are suggested about U-shaped maturity structures. First, under Samuelson hypothesis it is possible to show that the volatilities are high around the maturity date because of the volatility clustering and the volatility spill-over. Second, we try the regression of the volatility on variables such as the proportion of the individual investors, the foreign investors, and the program trading. These variables are U-shaped or inverse U-shaped due to the remaining maturity. Only before 2000, it is found that the proportions of the foreign investors and the program trading are compatible with U-shaped volatility structures.

scholarly journals Individual and institutional trading volume around firm-specific announcements

2016 ◽  
Vol 12 (4) ◽  
pp. 422-444 ◽  
Author(s):  
Priyantha Mudalige ◽  
Petko S Kalev ◽  
Huu Nhan Duong
Keyword(s):  
Institutional Investors ◽  
Trading Volume ◽  
Securities Market ◽  
Individual Investors ◽  
Order Book ◽  
Volume Data ◽  
Content Type ◽  
Before And After ◽  
Abnormal Trading Volume ◽  
Trading Behaviour

Purpose – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. Design/methodology/approach – This study uses intraday trading volume data in five-minute intervals prior to and after firm-specific announcements to measure individual and institutional abnormal volume. There are 70 such intervals per trading day and 254 trading days in the sample period. The first 10 minutes of trading (from 10.00 to 10.10 a.m.) is excluded to avoid the effect of opening auction and to ensure consistency in the “starting time” for all stocks. The volume transacted during five-minute intervals is aggregated and attributed to individual or institutional investors using Broker IDs. Findings – Institutional investors exhibit abnormal trading volume before and after announcements. However, individual investors indicate abnormal trading volume only after announcements. Consistent with outcomes expected from a dividend washing strategy, abnormal trading volume around dividend announcements is statistically insignificant. Both individual and institutional investors’ buy volumes are higher than sell volumes before and after scheduled and unscheduled announcements. Research limitations/implications – The study is Australian focused, but the results are applicable to other limit order book markets of similar design. Practical implications – The results add to the understanding of individual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure. Social implications – The results add to the understanding of individual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure. Originality/value – These results will help regulators to design markets that are less predatory on individual investors.

scholarly journals The Informational Response of Different Investor Types on Futures Return Fluctuations: Evidence from Taiwan’s Index Futures Market

2021 ◽  
Vol 18 ◽  
pp. 1339-1348
Author(s):  
Chen-Cheng Chien ◽  
Chun-Nan Chen
Keyword(s):  
Institutional Investors ◽  
Futures Market ◽  
Price Impact ◽  
Individual Investors ◽  
Index Futures ◽  
Current Period ◽  
Different Types ◽  
Foreign Institutional Investors ◽  
Trading Volumes ◽  
The Impact

This article examines the price impact of different types of investors' trading activities in the Taiwan index futures market on the market, and explores the information roles of different types of investors. We find the trading volumes of different investors in the index futures market affect futures returns through information. The impact on index futures returns in the current period is small, showing the ability of foreign institutional investors to quickly respond to negative news and obtain information advantages. Further, from the MSE and QLIKE loss functions, individual investors use EGARCH(1,1), domestic institutional investors TGARCH(1,1), and foreign institutional investors GARCH(1,1). Further, the imbalance of buy and sell orders is suitable for the fluctuation of futures returns using EGARCH(1,1).

The Impact of Investor Sentiment on Risk Neutral Skewness: Around Financial Crisis

2015 ◽  
Vol 23 (4) ◽  
pp. 475-516
Author(s):  
Byungchan Kim ◽  
Sol Kim
Keyword(s):  
American Association ◽  
Parametric Method ◽  
Investor Sentiment ◽  
Futures Market ◽  
Individual Investors ◽  
Three Dimension ◽  
Risk Neutral ◽  
General Relations ◽  
Index Option ◽  
The Impact

We examine the relation between investor sentiment proxies and the risk neutral skewness of S&P 500 index option. The risk neutral skewness is estimated by the method of Bakshi, Kapadia and Madan (2003), which is non-parametric method, and the interpolation-extrapolation method and trapezoidal rule is used. We use four sentiment proxies: Michigan Consumer Sentiment Index, non-commercial trader's net position of S&P 500 futures market, Baker and Wurgler (2006)'s sentiment index, and bull-bear survey of American Association of Individual Investors. We firstly conduct the regression to find the general relations of two variables, and then examine the lead-lag relation between investor sentiment proxies and risk neutral skewness through VAR analysis. Contrary to the previous studies, we observe that sentiment proxies show different signs by the economic conditions. Overall, the sentiment proxies explain the three-dimension moment better in the crisis in U.S, and especially non-commercial trader's net position of S&P 500 futures market explains bet among the proxies.

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