[2008년 제 1차] Individual investors and persistence of arbitrage t
작성자 : 관리자
조회수 : 1014
게시일 :
2008-02-25
This paper analyzes the influence of individual traders on the persistence of arbitrage trading, using Korea’s KOSPI 200 Index Futures market data. Regarding the relationship between the individual traders and the persistence of arbitrage trading, we find two things. First, the individual traders are the uninformed traders and behaved as positive feedback traders. Second, individual traders’ trading leads to the persistence of arbitrage opportunities. Especially, the relative trading intensity between individual traders and arbitragers is important in determining the arbitrage persistence. This study contributes to explaining the dynamic process of arbitrage trading by considering the individual trader’s behavior and its influence. Regarding the arbitrage trading, the previous studies have focused on the behavior of arbitragers and the factors limiting arbitrage trading. Unlikely to the previous studies, we show that individual traders’ behavior can lead to the persistence of arbitrage trading and market inefficiency. We also suggest that the mutual interaction between traders should be studied more deeply for understanding the dynamic process of arbitrage trading
첨부파일