Survival Analysis of Futures Investors— Evidence from Taiwan Index Futures

• Main Authors: Chun-Ting Yang, 楊珺婷
• Other Authors: Chun-Nan Chen
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/hy5e2e

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === This study is to analyze the impact of several traders trading behavior and gains or losses on the survival of traders. Our sample is from Taiwan Stock Index Futures (TX) Contract. We study whether traders may leave the market after experience losses. This study find that the survival of traders is positively influenced by trader experience, number of round trip and cumulative payoff. The more often traders trade, the less likely they will leave the market as the results of losses. Besides, the survival of traders is negatively affected by cumulative frequency of losses, GSLL and GFLM. When the nearest frequency of losses increases, the risk of leaving the market because of losses might also increase. On the other hand, when traders hold gaining positions in shorter period and hold losing positions in longer period, traders will survive shorter in the futures market because of the irrational behavior. Moreover, as traders gain in few amount and loss in many amount, traders will survive shorter in the futures market owing to losses. Finally, position traders, foreign and institutional traders are more prone to leave the market due to losses.